电力市场下基于实物期权理论的电源投资动态决策模型研究  

Study on Dynamic Decision Model of Investing New Power Generation Capacity Based on Real Option Theory in Electricity Markets

作　　者：梁志宏[1] 杨昆[1] 孙耀唯[2] 王建斌[1] 彭琼[3] 

机构地区：[1]华北电力大学,北京市昌平区102206 [2]国家电力监管委员会,北京市宣武区100031 [3]中国科学院研究生院,北京市海淀区100049

出　　处：《中国电机工程学报》2006年第16期74-79,共6页Proceedings of the CSEE

摘　　要：传统的电源投资模型基于净现值(NPV)分析工具,它没有考虑市场的不确定性,而电力市场环境下需要建立动态投资模型,以研究投资者如何利用投资选择权规避不确定性带来的风险。为此,该文基于实物期权理论研究提出电源投资动态决策模型。首先依据电源投资特点并结合等待投资期权理论,研究给出模型的数值求解过程,然后结合我国南方区域电力市场电源结构特点,通过对发电容量投资案例的仿真计算,研究了投资者面对市场不确定性获取等待型期权的动态决策,分析了价格上限和投资许可证有效期对投资决策的影响。该文的研究不仅能为电源投资者提供新的决策方法,而且也能为政策制定者制定有序吸引电源投资的产业政策提供理论参考。In the competitive electricity markets, investors can make their free options of investment new power generation capacity. But we used to analyze the investment decision making by static NPV evaluation of expected cash flow from a project, it does not consider the flexible and dynamic representation of the decision timing under uncertainty. So the paper, firstly according to the real options theory and considering the value of having the options to invest new power generation capacity, presents dynamic decision making model of investing new power generation capacity. Secondly, considering structure characteristics of South China power market, the paper provides a case of investment new power generation capacity to illustrate how to do decision making in proper time under uncertainty. Thirdly, the paper analyses some policies that include the price cap and the time limit of license authorized by regulators may impose on decision making of investment. In a word, we wish that the model can provide a new approach of investment decision making, meanwhile also help Decision-maker to make more proper investment policy in competitive electricity markets.

关 键 词：电力市场 不确定性环境 电源投资 实物期权 动态规划 产业政策 

分 类 号：F293[经济管理—国民经济]