On risk averse competitive equilibrium

Henri Gérard (1) , Vincent Leclère (1) , Andy Philpott (2)

1 CERMICS - Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique
2 University of Auckland [Auckland]

We discuss risked competitive partial equilibrium in a setting in which agents are endowed with coherent risk measures. In contrast to social planning models, we show by example that risked equilibria are not unique, even when agents' objective functions are strictly concave. We also show that standard computational methods find only a subset of the equilibria, even with multiple starting points.

Mots clés: Stochastic Equilibrium; Stochastic Programming; Risk averse equilibrium; Electricity Markets

Domaines: Optimisation et contrôle [math.OC]

Henri Gérard, Vincent Leclère, Andy Philpott. On risk averse competitive equilibrium. Operations Research Letters, 2018, ⟨10.1016/j.orl.2017.10.011⟩. ⟨hal-01539997⟩