MAESTROThe role of storage in risk-averse energy market equilibria
The research project assesses storage in risk-averse energy market equilibria. We investigate whether more storage capacity with high efficiency can help risk-averse market participants to hedge against undesirable outcomes, or, by contrast, storage may mainly introduce new risks. In other words, we investigate whether storage can contribute to complete the market; in a complete market every payoff profile is attainable by a replication portfolio of existing assets. The analysis is for electricity markets but may be applicable to other commodity markets with limited storage capacity.