基于投资组合风险理论的购电商购电方案优化.pdfVIP

基于投资组合风险理论的购电商购电方案优化 1 2 陈 雯 ，李春杰 （华北电力大学工商管理学院，北京 102206） OPTIMIZED PURCHASING STRATEGY BASED ON THE MARKOWITZ THEORY 1 2 CHEN Wen ,LI Chun-jie (School of Business Administration, North China Electric Power University, Beijing, 102206) ABSTRACT: In the deregulated electricity market, the 1 引言 vertically-integrated monopoly structure was broken. 电力体制改革、厂网分开、电力市场的建立及 Competitive electricity market was formed. The distribution companies became the purchasers in the electricity markets. 运营，是我国电力行业近几年面对的挑战，这也使 How to make the purchasing decisions in different market 得发电商、供电公司、电力用户等市场参与者成为 and optimize the portfolios of contracts to minimize risks 了电力市场的主体，电力管制体制的改革在大幅度 and maximize profits becomes the major concern of discos. 提高电力部门效率的同时，也蕴藏着巨大的风险。 In this paper, a bi-objective programming model is 随着电力工业市场化的深入，电价逐步放开， established based on the Markowitz theory for the 上网电价通过竞价方式确定。由于电力商品的特殊 investment risk, with minimizing purchasing cost and 性，电能不能大规模地有效储存，而且供需之间要 minimizing its risks being the objectives. 求实时平衡，加上发电容量的限制、输电网的约束 The result shows that this research can provide decision support for discos to optimize their purchase strategies by 以及电力供需弹性小的特点，于是，电力交易的结 their own risk preference. 算电价呈现出类似于负荷变化的随机性，电价表现 Keywords: power market, risk analysis, Monte Carlo 出强烈的波动和尖峰特性。尤其是在实时市场上存 simulation, Markowitz theory, value at risk (VaR) 在大的发电商利用市场力操纵电价的可能，导致电 摘要: 价的变化很难进行预测。在终端销售电价不随上网