Related papers: Risk-Averse Equilibrium Analysis and Computation

In an incomplete market setting, we consider two financial agents, who wish to price and trade a non-replicable contingent claim. Assuming that the agents are utility maximizers, we propose a transaction price which is a result of the…

This paper investigates the efficiency loss in social cost caused by strategic bidding behavior of individual participants in a supply-demand balancing market, and proposes a mechanism to fully recover equilibrium social optimum via…

We develop a general theory of risk measures that determines the optimal amount of capital to raise and invest in a portfolio of reference traded securities in order to meet a pre-specified regulatory requirement. The distinguishing feature…

The transition of the electrical power grid from fossil fuels to renewable sources of energy raises fundamental challenges to the market-clearing algorithms that drive its operations. Indeed, the increased stochasticity in load and the…

We study the robust Nash equilibrium (RNE) for a class of games in communications systems and networks where the impact of users on each other is an additive function of their strategies. Each user measures this impact, which may be…

We present a general two-side market model with divisible commodities and price functions of participants. A general existence result on unbounded sets is obtained from its variational inequality re-formulation. We describe an extension of…

Much research in systemic risk is focused on default contagion. While this demands an understanding of valuation, fewer articles specifically deal with the existence, the uniqueness, and the computation of equilibrium prices in structural…

Future electricity distribution grids will host a considerable share of the renewable energy sources needed for enforcing the energy transition. Demand side management mechanisms play a key role in the integration of such renewable energy…

This work studies equilibrium problems under uncertainty where firms maximize their profits in a robust way when selling their output. Robust optimization plays an increasingly important role when best guaranteed objective values are to be…

We develop a financial market model in which a large population of firms chooses dynamic emission strategies under climate transition risk, interacting with both environmentally concerned and neutral investors. Firms face a trade-off…

I characterize optimal government policy in a sticky-price economy with different types of consumers and endogenous financial constraints in the banking and entrepreneurial sectors. The competitive equilibrium allocation is constrained…

We study a problem where wireless service providers compete for heterogenous wireless users. The users differ in their utility functions as well as in the perceived quality of service of individual providers. We model the interaction of an…

We study a competitive electricity market equilibrium with two trading stages, day-ahead and real-time. The welfare of each market agent is exposed to uncertainty (here from renewable energy production), while agent information on the…

I study the limit of a large random economy, where a set of consumers invests in financial instruments engineered by banks, in order to optimize their future consumption. This exercise shows that, even in the ideal case of perfect…

Energy storage promotes the integration of renewables by operating with charge and discharge policies that balance an intermittent power supply. A key challenge in this emerging sector is how to optimize the operation of storage assets…

Mechanism design is studied for aggregating renewable power producers (RPPs) in a two-settlement power market. Employing an indirect mechanism design framework, a payoff allocation mechanism (PAM) is derived from the competitive equilibrium…

In this paper, an aggregate game approach is proposed for the modeling and analysis of energy consumption control in smart grid. Since the electricity user's cost function depends on the aggregate load, which is unknown to the end users, an…

We consider an attacker-operator game for monitoring a large-scale network that is comprised on components that differ in their criticality levels. In this zero-sum game, the operator seeks to position a limited number of sensors to monitor…

This paper provides a framework for modeling financial contagion in a network subject to fire sales and price impacts, but allowing for firms to borrow to cover their shortfall as well. We consider both uncollateralized and collateralized…

We analyze the systemic risk for disjoint and overlapping groups (e.g., central clearing counterparties (CCP)) by proposing new models with realistic game features. Specifically, we generalize the systemic risk measure proposed in [F.…