基于套利定价理论的发电商最优交易组合策略  

Optimal portfolio strategy of generation company based on the arbitrage pricing theory

作　　者：吴玮[1] 周建中[1] 莫莉[1] 曹广晶[2] 朱承军[2] 

机构地区：[1]华中科技大学水电与数字化工程学院,湖北武汉430074 [2]中国长江三峡工程开发总公司,湖北宜昌443002

出　　处：《华北电力大学学报（自然科学版）》2007年第3期90-96,共7页Journal of North China Electric Power University：Natural Science Edition

基　　金：国家自然科学基金资助项目(50579022);国家自然科学基金重点项目(50539140);高等学校博士学科专项科研基金(20050487062)

摘　　要：电力市场中,电价在资源优化配置中起决定性的作用;由于现货市场与远期合约市场中的电价均具有实时波动性,两个市场间的电价相对稳定是市场内所有参与者实现交易的必要条件。当两个市场中的电价出现明显的价格差异时,套利机会将会产生。针对这种两市场中的价格差异现象,发电商在决策初期,必须考虑现货市场与远期合约市场间的套利机会。本文首先提出用历史数据预测交易时段内两个市场间的各种电价差异水平的概率,剖析套利机会产生的成因与演化规律;其次,提出用套利定价理论指导发电商建立面向两个市场的交易组合模型,目标为夏普比率最大,即:在尽量降低风险的同时,获取更多的期望收益。通过求解模型,发电商可以确定在两个市场中的最优交易组合策略。Electricity price has the core function in resource plane. Due to the fluctuation of electricity prices in forward and spot electricity market, the relatively stabilization between the two electricity market is the necessary condition of trade among participants. The arbitrage behaviors will appear when prices differences is distinct between the two electricity market. According to these phenomena of prices differences, generation company should consider the arbitrage behaviors before the schedules. Firstly, this paper proposes using probability to measure different levels＇ between contract price and spot price and analyses the arbitrage behavior rules in the two electricity markets. Secondly, an portfolio strategies in the two electricity market based on arbitrage pricing theory （APT） is established. Its goal is maximization the Sharp ratio . to obtain more profit and lower the risk. From calculation results, the optimal sales quantity of two electricity markets and the arbitrage buying quantity can be determined and as well as the optimal sales portfolio strategy.

关 键 词：电力市场 发电商 套利定价理论 交易组合策略 夏普比率 

分 类 号：TM73[电气工程—电力系统及自动化] F123.9[经济管理—世界经济]