应用资本收益率风险控制方法电网企业多市场购电组合优化.pdfVIP

第 35 卷 第 1 期 电 网 技 术 Vol. 35 No. 1 2011 年 1 月 Power System Technology Jan. 2011 文章编号：1000-3673 （2011 ）01-0203-06 中图分类号：F 123.9 文献标志码：A 学科代码：790·625 应用资本收益率风险控制方法的 电网企业多市场购电组合优化 柳瑞禹，邱丹 （武汉大学经济与管理学院，湖北省 武汉市 430072 ） Optimization of Multi-market Purchasing Portfolio for Power Grid Enterprises Applying Risk Adjusted Return on Capital Method LIU Ruiyu, QIU Dan (School of Economics and Management, Wuhan University, Wuhan 430072, Hubei Province, China) ABSTRACT: In view of simultaneous and equidirectional 系。运用在险价值推导出电价服从对数正态分布时的风险度 variation between risk and revenue, under the condition of 量计算公式，从而构建购电组合优化决策模型。最后通过算 comprehensively considering the variation of risk and revenue, 例分析，对不同置信水平和不同的风险偏好程度下的最优购 the optimization of power grid enterprises’ purchasing portfolio 电方案进行预测。结果表明电量分配主要由风险偏好程度决 is researched by means of utilizing the model of risk adjusted 定，并且随着风险厌恶程度的增加，现货市场分配的电量逐 return on capital (RAROC) in the field of financial risk 渐减少，该结论对成熟电力市场条件下电网企业防范风险具 management. According to the characteristics of power 有指导意义。结果表明电量分配主要由风险偏好程度决定， purchasing decision-making, the concrete analysis on 并且随着风险厌恶程度增加，现货市场分配的电量逐渐减 allocation of power purchasing among spot market, option 少，该结论对成熟电力市场条件下电网企业防范风险具有指 market and contract market is performed to search after the 导意义。 functional relation of expected revenue to the price and 关键词：资本收益率；经济资本；在险价值；购电组合；优化 quantity of electricity. The computation formula for risk measurement under the condition that