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Mitigating market incompleteness with minor market distortions: the case of negative spot prices for electricity

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  • Ibrahim Abada
  • Andreas Ehrenmann

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  • Ibrahim Abada & Andreas Ehrenmann, 2025. "Mitigating market incompleteness with minor market distortions: the case of negative spot prices for electricity," Working Papers EPRG2507, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge.
    • Handle: RePEc:enp:wpaper:eprg2507
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    References listed on IDEAS

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    2. Lei Guo & Gui-Hua Lin & Jane J. Ye, 2015. "Solving Mathematical Programs with Equilibrium Constraints," Journal of Optimization Theory and Applications, Springer, vol. 166(1), pages 234-256, July.
    3. Downward, Anthony & Young, David & Zakeri, Golbon, 2016. "Electricity retail contracting under risk-aversion," European Journal of Operational Research, Elsevier, vol. 251(3), pages 846-859.
    4. Meus, Jelle & De Vits, Sarah & S'heeren, Nele & Delarue, Erik & Proost, Stef, 2021. "Renewable electricity support in perfect markets: Economic incentives under diverse subsidy instruments," Energy Economics, Elsevier, vol. 94(C).
    5. Markowitz, Harry, 2014. "Mean–variance approximations to expected utility," European Journal of Operational Research, Elsevier, vol. 234(2), pages 346-355.
    6. Ruodu Wang & Ričardas Zitikis, 2021. "An Axiomatic Foundation for the Expected Shortfall," Management Science, INFORMS, vol. 67(3), pages 1413-1429, March.
    7. Gabriel, Steven A. & Leuthold, Florian U., 2010. "Solving discretely-constrained MPEC problems with applications in electric power markets," Energy Economics, Elsevier, vol. 32(1), pages 3-14, January.
    8. Yangfang (Helen) Zhou & Alan Scheller-Wolf & Nicola Secomandi & Stephen Smith, 2016. "Electricity Trading and Negative Prices: Storage vs. Disposal," Management Science, INFORMS, vol. 62(3), pages 880-898, March.
    9. López Prol, Javier & Steininger, Karl W. & Zilberman, David, 2020. "The cannibalization effect of wind and solar in the California wholesale electricity market," Energy Economics, Elsevier, vol. 85(C).
    10. RALPH, Daniel & SMEERS, Yves, 2015. "Risk trading and endogenous probabilities in investment equilibria," LIDAM Reprints CORE 2727, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    11. Charness, Gary & Gneezy, Uri & Imas, Alex, 2013. "Experimental methods: Eliciting risk preferences," Journal of Economic Behavior & Organization, Elsevier, vol. 87(C), pages 43-51.
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    13. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    14. Ibrahim Abada & Gauthier de Maere d'Aertrycke & Andreas Ehrenmann & Yves Smeers, 2019. "What models tell us about long-term contracts in times of the energy transitio," LIDAM Reprints CORE 3022, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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    More about this item

    Keywords

    Incomplete markets; market distortion; bi-level programming; stochastic equilibrium models; optimal regulation; power markets;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games
    • C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices

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