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| 摘要: |
| 由于市场价格的不确定性和负荷需求的随机性,供电公司在不同市场间购电需要综合考虑风险和收益的均衡问题。借助金融领域的证券组合投资理论,引入一致性风险计量因子条件风险价值CVaR(Conditional Value at Risk),将均值-CVaR风险收益模型应用于供电公司的购电组合,以一定风险条件下最大化期望收益为目标,建立了供电公司在实时平衡市场、现货市场和远期合同市场间的购电决策模型,并将模型转化为线性规划求解,得到了不同风险条件下的购电分配结果和收益变化情况。算例结果表明,供电公司可利用长期合同规避市场风险,CVaR也能真实地反映供电企业面临的风险大小,所提模型及方法合理、有效。 |
| 关键词: 电力市场,供电公司,购电组合,风险管理,CVaR |
| DOI： |
| 分类号:TM73 F123.9 |
| 基金项目:国家自然科学基金项目(50377023)~~ |
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| CVaR-based electricity purchase model for power supply company |
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WANG Jinfeng LI Yuzeng ZHANG Shaohua
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| Abstract: |
| Due to the uncertainty of market price and the randomicity of load demand,power supply companies should balance the profit against the risk when purchase electricity from different markets.According to the portfolio theory of financing,the mean-CVaR(Conditional Value at Risk) risk-profit model is introduced to the purchase portfolio of the power supply company,which takes the maximum expected profit under a certain risk as its objective in electricity purchase from real-time market,day-ahead market and forward contract market.The purchase proportions from different markets and the corresponding profits are obtained by linear programming for different risk levels.The example shows that,CVaR can be used to measure the risk and the long-term contract to avoid risk.The proposed model is valid and rational. |
| Key words: electricity market,power supply company,purchase portfolio,risk management,CVaR |
