User menu

Risk adjusted discounted cash flows in capacity expansion models

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
  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. (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