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

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 generator’s optimal pre-commitment behaviour for a given real-time policy, both with and without risk trading.

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

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