The effects of risk preferences on investments and trade in the natural gas market

Abstract

In this thesis we have developed and solved a multi-stage stochastic mixed complementarity problem (MCP) for a natural gas market that accounts for market power and risk averse behaviour amongst producers using the risk measure conditional value at risk (CV@R). The model treats different sources of natural gas as separate resources, and accounts for endogenous expansions of production capacities, pipeline capacities and natural gas reserves.