考虑风险效用的多市场发电交易策略  

Multi-market Trading Strategy of Generators Using Risk Utility

作　　者：赵楠[1] 何光宇[1] 刘敦楠[1] 陈雪青[1] 

机构地区：[1]清华大学电机系电力系统国家重点实验室,北京市100084

出　　处：《电力系统自动化》2006年第11期24-27,55,共5页Automation of Electric Power Systems

基　　金：国家自然科学基金资助项目(50507013)。

摘　　要：电力市场中存在着多种交易,如合约交易、日前交易、实时交易和辅助服务交易等。如何在市场中分配交易量,达到利益最大化,是一个值得关注和研究的问题。文中借鉴经济学中的资本资产定价模型,引入风险效用的概念来体现收益与风险的均衡关系,考虑了发电商由于承担风险而对风险应该带来更多收益的要求,建立了新的数学模型并求解,从而给出最优的发电商交易策略。模型中风险因子可通过计算直接得到,弥补了以往模型中主观确定风险因子的缺点。算例验证了该模型的正确性和适用性。There are some kinds of trading models in the electricity market, such as contact, day-ahead, real-time, ancillary services and etc. It is a noteworthy and valuable problem that how to allocate the trade ratio in the market for the purpose of profit maximization. Using capital asset pricing model （CAPM） in economies for reference, the concept of risk utility is introduced to embody the balance between earning and risk. It is considered that the more risk the purchaser takes, the more earning should be returned to him. With the solution for the new model derived, an optimal generator trading strategy is given. To make up the disadvantage of concluding the risk factors subjectively in many of the previous modes, the risk factor can be worked out exactly and directly by computation in this model. The numerical examples show the validity and availability of the model proposed.

关 键 词：电力市场 发电商 资本资产定价模型 风险效用 

分 类 号：F407.61[经济管理—产业经济]