Dynamic Risked Equilibrium
| العنوان: | Dynamic Risked Equilibrium |
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| المؤلفون: | Michael C. Ferris, Andy Philpott |
| المصدر: | Operations Research. 70:1933-1952 |
| بيانات النشر: | Institute for Operations Research and the Management Sciences (INFORMS), 2022. |
| سنة النشر: | 2022 |
| مصطلحات موضوعية: | TheoryofComputation_MISCELLANEOUS, Partial equilibrium, Coherent risk measure, Economics, Perfect competition, Stochastic optimization, Management Science and Operations Research, Mathematical economics, Commodity (Marxism), Computer Science Applications |
| الوصف: | We study a competitive partial equilibrium in markets where risk-averse agents solve multistage stochastic optimization problems formulated in scenario trees. The agents trade a commodity that is produced from an uncertain supply of resources. Both resources and the commodity can be stored for later consumption. Several examples of a multistage risked equilibrium are outlined, including aspects of battery and hydroelectric storage in electricity markets, distributed ownership of competing technologies relying on shared resources, and aspects of water control and pricing. The agents are assumed to have nested coherent risk measures based on one-step risk measures with polyhedral risk sets that have a nonempty intersection over agents. Agents can trade risk in a complete market of Arrow-Debreu securities. In this setting, we define a risk-trading competitive market equilibrium and establish two welfare theorems. Competitive equilibrium will yield a social optimum (with a suitably defined social risk measure) when agents have strictly monotone one-step risk measures. Conversely, a social optimum with an appropriately chosen risk measure will yield a risk-trading competitive market equilibrium when all agents have strictly monotone risk measures. The paper also demonstrates versions of these theorems when risk measures are not strictly monotone. |
| تدمد: | 1526-5463 0030-364X |
| الوصول الحر: | https://explore.openaire.eu/search/publication?articleId=doi_________::104d2374fc891bf8b90737f8da3a198bTest https://doi.org/10.1287/opre.2019.1958Test |
| رقم الانضمام: | edsair.doi...........104d2374fc891bf8b90737f8da3a198b |
| قاعدة البيانات: | OpenAIRE |
| تدمد: | 15265463 0030364X |
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