摘要
电力市场条件下的供电公司面临在多个市场间购电时收益与风险权衡问题。基于投资组合理论,引入条件风险价值作为风险测量因子,以最小化损失为目标,建立了供电公司在日前现货市场、远期合同市场和金融期权市场间购电的决策模型,重点考虑金融市场中期权交易对购电组合的影响。以3个市场组合购电为算例的计算结果表明:期权的参与可以有效降低供电公司的购电损失,期权价格、敲定价格对购电组合中的市场配额和损失也有较明显的影响;同时也证明了所提出的模型和方法的合理性和有效性。
Load serving entities （LSEs） are faced with the trade-off between benefit and risk when they purchase energy from several submarkets under electricity market environment. In terms of a new risk index based on conditional value at risk （CVaR） as the measuring index for market risk, a purchasing model based on portfolio theory is presented, in which the object function is to minimize the portfolio loss among day-ahead market, forward contract market and options market. The focus is put on the effects of options market trade on purchasing portfolio. Examples illustrate that options can effectively lower purchasing portfolio loss, and the price and strike price of options have explicit effect on the portfolio allocation, while the validity and rationality of the model are also demonstrated.
出处
《电力系统自动化》
EI
CSCD
北大核心
2008年第3期30-32,96,共4页
Automation of Electric Power Systems
基金
国家自然科学基金资助项目(50377023)~~
关键词
期权交易
风险管理
组合优化
条件风险价值
电力市场
options trade
risk management
portfolio optimization
conditional value at risk （CVaR）
power market
