电力市场下发电商与购电商投标组合策略.pdf

摘 要 随着电力工业市场化改革的深入，发电商和购电商的投标组合策略对其显得越 来越为重要，不同的投标组合策略对其就意味着获得不同大小的利润和承担不同大 小的风险；因而研究电力市场下发电商和购电商的投标组合策略的文献也是比较多 的，并且也在收益和风险的度量指标上取得了一些重要的进展，但是仍然存在着需 要改进的地方，例如，传统的计及风险的文献大多借鉴金融学中 Markowtiz 的方差 计量理论。然而 Markowtiz 的均值－方差模型采用收益的方差作为风险计量的做法 已经受到置疑：方差关于平均收益是对称的，这意味着高于平均值的收益也被计为 风险；而现有文献用得比较多的评价一个投标组合的风险大小的指标是是 VaR 或 CVaR ；然而它们也都有其各自的需要改进的地方，比如， VaR 不满足风险的一致 性公理；缺乏次可加性，因此不能用于投资组合优化；尾部损失测量也存在非充分 性。CVaR 虽然克服了 VaR 的这些缺陷，但它也有其自身的不足：不能很好地反映 风险投资者的风险态度。 本文用期望收益来计量收益指标同时用谱风险测度来计量风险的大小，并建立 了发电商和购电商的投标组合决策模型；在算例中应用了不同的风险谱函数来进行 模拟并得到相应的试验结果，通过对试验结果的分析我们发现基于谱风险侧度的风 险计量方法不仅能很好地计量投标者选用某一个投标组合所面临的风险，而且能够 通过风险谱很好地反映出不同的投资者的风险态度。同时期望收益的设定也能很好 地保证风险投资者的获得一定程度大小的收益。从而为发电商和购电商提供了一个 更好的收益—风险模型。 关键词：投标组合， 风险态度， 谱风险测度， VaR , CVaR , 有效前沿， 风险管理， 电力市场 I Abstract With the developing of the electricity industry ’reform in market . It is more and more important for the electricity producers and the electricity purchasers in how to choose their bidding strategy .It means different profit and risk for them with the different bidding combination strategy . There have been some articles on the bidding combination strategy of the electricity purchasers and the electricity producers . And it has get some important development at the metrical methods of profit and risk . But there are still some aspect which need to ameliorate , for example , In the conventional literatures on measuring risk , the theory of Markowtiz in finance is used for reference. But the method that adopting Markowtiz’s average value and variance has been doubted : variance is symmetrical about average income, this means the profit above average income is also considered to be risk . And it used Var or CVaR to measure to measure risk in recently literatures.; it uses the VaR and CVaR to evaluate the profit and risk in the normal articles , but they also have their shortage , such as ,VaR is not fit to the consistency axiom , and it lack sub-additive proper