We discuss Nash equilibrium models of perfectly competitive capacity expansion involving risk-averse participants in the presence of state uncertainty and pricing mechanisms. Our study complements the extensive work on games with strategic players, and provides an extended treatment of games with price-taking players whose feasible sets may be unbounded. The latter aspect generalizes much of the classical analysis of such models for which price boundedness and feasible region compactness are essential assumptions needed for a fixed-point existence proof. In contrast, we establish the existence of solutions to the extended models based on their nonlinear complementarity formulations to which a general existence result is applicable. This work is joint with Ben Hobbs (Johns Hopkins University) and Dan Schiro (New England ISO).
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