多种交易方式下的发电商投标组合方案及风险评估  

Combined Bidding Scheme and Risk Assessment for Generation Company in Power Market

作　　者：李阳华[1] 姚建刚[1] 

机构地区：[1]湖南大学电气与信息工程学院,湖南长沙410082

出　　处：《华中电力》2007年第2期5-8,共4页Central China Electric Power

摘　　要：电力市场中存在着日前市场、实时市场、合同市场和辅助服务市场等多种交易方式。对于发电商而言,为了获得较多的利润并且降低风险,必须在各个交易市场上合理分配参与竞价的电量与容量。依据现代投资组合理论,提出基于效用函数的多种交易方式下的投标组合优化模型,将风险管理中的VaR(ValueatRisk)方法引入投标组合方案的风险评估中,推导出发电商最小利润值模型和求解方法,为发电商的投标组合决策及其风险评估提供了新的思路。There are many kinds of modes in the power market, such as day-ahead market, real-time market, forward contract market and ancillary services market. As a generation company （Genco）, to maximize profit or minimize risk value,they should seek an reasonable allocation of the generation capacity towards these modes. According to the modern portfolio theory, this paper develops a combined bidding optimal model based on utility function, and applies a risk assessment method of VaR （value at risk） to assess the risk of the scheme, deduces the minimum profit model and presents the method for solving this model.

关 键 词：电力市场 投标组合 风险价值 风险评 

分 类 号：F407.61[经济管理—产业经济]