Template-Type: ReDIF-Article 1.0

Author-Name: Estrella Alonso 
Author-Workplace-Name: Escuela Técnica Superior de Ingeniería, Universidad Pontificia Comillas 
Author-Name: Gustavo Juan Tejada  
Author-Workplace-Name: Instituto de Matemática Interdisciplinar, Universidad Complutense de Madrid 

Title: The Auction Model with Lowest Risk in a Duopolistic Electricity Market

Abstract: The present paper models the electricity market auction as a two-person game with incomplete information under the assumption that bidders are symmetric, risk neutral and have independent private costs. Alonso and Tejada (2010) define an extensive parametric family of auction models which contains the classic auction models; Uniform, Discriminatory and Vickrey auction models. The present paper analyzes this parametric family of auction models from the viewpoint of the risk. It develops a new auction model called DV, which has lower risk than any other classic auction model.
Classification-JEL: D44

Keywords: auctions, Value at Risk, electricity market.

Journal: Económica

Pages: 3-21
Volume: LVIII
Year: 2012
Month: January-December
File-URL: https://revistas.unlp.edu.ar/Economica/article/view/5356/4871
File-Format: Application/pdf
Handle: RePEc:akh:journl:580