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On stochastic auctions in risk-averse electricity markets with uncertain supply

Ryan Cory-Wright (ryancw***at***mit.edu)
Golbon Zakeri (g.zakeri***at***auckland.ac.nz)

Abstract: This paper studies risk in a stochastic auction which facilitates the integration of renewable generation in electricity markets. We model market participants who are risk averse and reflect their risk aversion through coherent risk measures. We uncover a closed-form characterization of a risk-averse generatorís optimal pre-commitment behaviour for a given real-time policy, both with and without risk trading.

Keywords: OR in Energy, Stochastic programming, Risk-aversion, Risky equilibria.

Category 1: Stochastic Programming

Category 2: Other Topics (Game Theory )

Category 3: Applications -- OR and Management Sciences (Finance and Economics )

Citation: Technical report, Operations Research Center, Massachusetts Institute of Technology, June 2019

Download: [PDF]

Entry Submitted: 03/04/2018
Entry Accepted: 03/04/2018
Entry Last Modified: 06/24/2019

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