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On the multiplicity of solutions in generation capacity investment models with incomplete markets: a risk-averse stochastic equilibrium approach.
Ibrahim Abada
Gauthier de Maere d'Aertrycke
Yves Smeers
Published in:
Math. Program. (2017)
Keyphrases
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risk aversion
risk averse
stochastic programming
risk neutral
utility function
optimal solution
game theory
market participants
probabilistic model
simulated annealing
multistage
markov decision processes
stochastic model
stochastic process
portfolio management