  We propose a term structure power price model that, in contrast to widely
accepted no-arbitrage based approaches, accounts for the non-storable nature of
power. It belongs to a class of equilibrium game theoretic models with players
divided into producers and consumers. The consumers' goal is to maximize a
mean-variance utility function subject to satisfying an inelastic demand of
their own clients (e.g households, businesses etc.) to whom they sell the
power. The producers, who own a portfolio of power plants each defined by a
running fuel (e.g. gas, coal, oil...) and physical characteristics (e.g.
efficiency, capacity, ramp up/down times...), similarly, seek to maximize a
mean-variance utility function consisting of power, fuel, and emission prices
subject to production constraints. Our goal is to determine the term structure
of the power price at which production matches consumption. In this paper we
show that in such a setting the equilibrium price exists and also discuss the
conditions for its uniqueness.
