Related papers: Risk-Averse Equilibrium Analysis and Computation
This paper presents an automated peer-to-peer negotiation strategy for settling energy contracts among prosumers in a Residential Energy Cooperative considering heterogeneity prosumer preferences. The heterogeneity arises from prosumers'…
This paper is the continuation of "Pricing with coherent risk" and deals with further applications of coherent risk measures to problems of finance. First, we study the optimization problem. Three forms of this problem are considered.…
This paper explores the design of a balanced data-sharing marketplace for entities with heterogeneous datasets and machine learning models that they seek to refine using data from other agents. The goal of the marketplace is to encourage…
We consider a competitive market with risk-averse participants. We assume that agents' risks are measured by coherent risk measures introduced by Artzner et al. (1999). Fundamental theorems of welfare economics have long established the…
This work studies the decentralized and uncoordinated energy source selection problem for smart-grid consumers with heterogeneous energy profiles and risk attitudes: they compete for a limited amount of renewable energy in their local…
In two-stage electricity markets, renewable power producers enter the day-ahead market with a forecast of future power generation and then reconcile any forecast deviation in the real-time market at a penalty. The choice of the forecast…
We model real-world data markets, where sellers post fixed prices and buyers are free to purchase from any set of sellers, as a simultaneous game. A key component here is the negative externality buyers induce on one another due to data…
This paper focuses on the problem of energy imbalance management in amicrogrid. The problem is investigated from the power market perspective. Unlike the traditional power grid, a microgrid can obtain extra energy froma renewable energy…
In this study, we present models where participants strategically select their risk levels and earn corresponding rewards, mirroring real-world competition across various sectors. Our analysis starts with a normal form game involving two…
Existing electricity market designs assume risk neutrality and lack risk-hedging instruments, which leads to suboptimal market outcomes and reduces the overall market efficiency. This paper enables risk-trading in the chance-constrained…
This paper proposes a novel energy sharing mechanism for prosumers who can produce and consume. Different from most existing works, the role of individual prosumer as a seller or buyer in our model is endogenously determined. Several…
We develop a stochastic equilibrium model for an electricity market with asymmetric renewable energy forecasts. In our setting, market participants optimize their profits using public information about a conditional expectation of energy…
The advent of intelligent agents who produce and consume energy by themselves has led the smart grid into the era of "prosumer", offering the energy system and customers a unique opportunity to revaluate/trade their spot energy via a…
The large majority of risk-sharing transactions involve few agents, each of whom can heavily influence the structure and the prices of securities. This paper proposes a game where agents' strategic sets consist of all possible sharing…
This paper characterizes the equilibrium in a continuous time financial market populated by heterogeneous agents who differ in their rate of relative risk aversion and face convex portfolio constraints. The model is studied in an…
We consider a model of a reinsurance market consisting of multiple insurers on the demand side and multiple reinsurers on the supply side, thereby providing a unifying framework and extension of the recent literature on optimality and…
Energy forecasting has attracted enormous attention over the last few decades, with novel proposals related to the use of heterogeneous data sources, probabilistic forecasting, online learn-ing, etc. A key aspect that emerged is that…
We introduce a strategic behavior in reinsurance bilateral transactions, where agents choose the risk preferences they will appear to have in the transaction. Within a wide class of risk measures, we identify agents' strategic choices to a…
Electricity market design that accounts for grid constraints such as voltage and thermal limits at the distribution level can increase opportunities for the grid integration of Distributed Energy Resources (DERs). In this paper, we consider…
Liberalized electricity markets often include resource adequacy mechanisms that require consumers to contract with generation resources well in advance of real-time operations. While administratively defined mechanisms have most commonly…