Maestro = Market equilibrium under risk-aversion and with strorage
The research project assesses storage in risk-averse energy market equilibria. We investigate whether more storage capacity with high efficiency can help risk-averse market participants to hedge against undesirable outcomes, or, by contrast, storage may mainly introduce new risks. In other words, we investigate whether storage can contribute to complete the market; in a complete market every payoff profile is attainable by a replication portfolio of existing assets. The analysis is for electricity markets but may be applicable to other commodity markets with limited storage capacity.
In a first seed phase of 2020-2024, we conducted a SNSF-sponsored project (http://p3.snf.ch/project-185149), to understand the the theoretical foundation of risk-averse equilibrium modeling. In a second phase until 2025, we consider models with real-world energy market data.
Conference contributions
Liu, S., Densing, M, McKenna, R., Sansavini, G. (2024). Impact of storage flexibility in energy markets under risk aversion. 33th European Conference on Operational Research (EURO 2024), 30 June- 3 July, Copenhagen, Denmark
Liu, S., Densing, M, McKenna, R., Sansavini, G. (2023). The role of storage and hedging in risk-averse electricity markets equilibria. 18th European Conference of International Association of Energy Economics (IAEE), 24.07.2023, Milano, Italy
Liu, S., Densing, M, McKenna, R., Sansavini, G. (2022). The role of storage and hedging in incomplete electricity markets with risk-averse participants. International Conference on Operations Research (OR 2022), 06.09.2022, Karlsruhe, Germany
Liu, S., Densing, M, McKenna, R., Sansavini, G. (2022). The role of storage and hedging in incomplete electricity markets with risk-averse participants. GOR Workshop (German Association of Operations Research), 09.06.2022 Dresden, Germany