User menu

Accès à distance ? S'identifier sur le proxy UCLouvain

Risk adjusted discounted cash flows in capacity expansion models

Primary tabs

Ehrenmann, Andreas [GDF Suez] Smeers, Yves [UCL]

This paper addresses a problem that is typical of multi-period capacity expansion equilibrium models: plants or sectors have different risk exposures that may warrant different costs of capital. The paper examines modifications of a capacity expansion model interpreted in equilibrium terms to account for asset-specific costs of capital

Document type Article de périodique (Journal article) – Article de recherche
Access type Accès interdit
Publication date 2013
Language Anglais
Journal information "Mathematical Programming Series B" - Vol. 140, no.2, p. 267-293 (2013)
Peer reviewed yes
Publisher Springer ((Germany) Heidelberg)
issn 0025-5610
e-issn 1436-4646
Publication status Publié
Affiliation UCL - SSH/LIDAM/CORE - Center for operations research and econometrics
Keywords complementarity and equilibrium problems and variational inequalities ; applications of mathematical programming
Links
  1. Armitage Seth, The Cost of Capital : Intermediate Theory, ISBN:9781139171335, 10.1017/cbo9781139171335
  2. Arrow Kenneth J., Debreu Gerard, Existence of an Equilibrium for a Competitive Economy, 10.2307/1907353
  3. Cochrane, J.H.: Asset Pricing. Princeton University Press, Princeton (2005)
  4. Cottle, R.W., Pang, J.S., Stone, R.S.: The Linear Complementarity Problem. Academic Press, Boston (1992)
  5. Ehrenmann, A., Smeers, Y.: Generation capacity expansion in a risky environment: a stochastic equilibrium analysis. Oper. Res., 59(6), 1332–1346, 2011 (2010a)
  6. Ehrenmann, A., Smeers, Y.: Risk Adjusted Discounted Cash Flows in Capacity Expansion Models. Mimeo (2012)
  7. Ehrenmann, A., Smeers, Y.: Stochastic equilibrium models for generation capacity expansion. In: Bertochi, M., Consigli, G., Dempster, M. (eds.) Handbook on Stochastic Optimization in Finance and Energy, New York, Springer, pp. 273–311, 2011 (2010b)
  8. EIA: The Electricity Market Module of the National Energy Modeling System: Model Documentation Report DOE/EIA-M068 (2009) Washington DC (2009)
  9. Esty, B.: The Economic Motivation for Using Project Finance. Harvard Business School, Mimeo (2003)
  10. Fachinnei, F., Pang, J.-S.: Finite-Dimensional Variational Inequalities and Complementarity Problems. Springer Series in Operations Research, New York, Springer (2003)
  11. Facchinei Francisco, Fischer Andreas, Piccialli Veronica, On generalized Nash games and variational inequalities, 10.1016/j.orl.2006.03.004
  12. Fama Eugene F., Risk-adjusted discount rates and capital budgeting under uncertainty, 10.1016/0304-405x(77)90027-7
  13. Fama Eugene F, French Kenneth R, The Capital Asset Pricing Model: Theory and Evidence, 10.1257/0895330042162430
  14. Ferris Michael C., Munson Todd S., Complementarity problems in GAMS and the PATH solver, 10.1016/s0165-1889(98)00092-x
  15. Fishbone Leslie G., Abilock Harold, Markal, a linear-programming model for energy systems analysis: Technical description of the bnl version, 10.1002/er.4440050406
  16. Harker Patrick T., Generalized Nash games and quasi-variational inequalities, 10.1016/0377-2217(91)90325-p
  17. Hobbs Benjamin F., Pang J. S., Nash-Cournot Equilibria in Electric Power Markets with Piecewise Linear Demand Functions and Joint Constraints, 10.1287/opre.1060.0342
  18. Hoffman Scott L., The Law and Business of International Project Finance, ISBN:9780511818387, 10.1017/cbo9780511818387
  19. Labriet, M., Loulou, R., Kanudia, A.: Modeling uncertainty in a large scale integrated energy-climate model. In: Filar, J.A., Haurie, A.B. (eds.) Environmental Decision Making Under Uncertainty, pp. 51–77 (2010)
  20. Loulou, R., Goldstein, G., Noble, K.: Documentation for the markal family of model, available from Energy Technology System Analysis Programme. http://www.etsap.org (2004)
  21. Loulou Richard, Labriet Maryse, Kanudia Amit, Deterministic and stochastic analysis of alternative climate targets under differentiated cooperation regimes, 10.1016/j.eneco.2009.06.012
  22. Morlat, G., Bessière, F.: Vingt cinq ans d’Economie électrique. Dunod, Paris (1971)
  23. Nabetani Koichi, Tseng Paul, Fukushima Masao, Parametrized variational inequality approaches to generalized Nash equilibrium problems with shared constraints, 10.1007/s10589-009-9256-3
  24. Pang Jong-Shi, Fukushima Masao, Quasi-variational inequalities, generalized Nash equilibria, and multi-leader-follower games, 10.1007/s10287-004-0010-0
  25. Paul, A., Burtraw, D., Palmer, K.: Haiku Documentation: RFF’s Electricity Market Model Version 2.0, Resources for the Futures. Washington, DC (2009)
  26. Ralph, D., Smeers, Y.: Pricing Risk Under Risk Measures: An Introduction to Stochastic-Endogenous Equilibria. Submitted (2011)
  27. Rosen J. B., Existence and Uniqueness of Equilibrium Points for Concave N-Person Games, 10.2307/1911749
Bibliographic reference Ehrenmann, Andreas ; Smeers, Yves. Risk adjusted discounted cash flows in capacity expansion models. In: Mathematical Programming Series B, Vol. 140, no.2, p. 267-293 (2013)
Permanent URL http://hdl.handle.net/2078.1/139764