电价不确定环境下发电商的最优投资时机及其概率分析  

The Optimal Timing and Probability Studying of Generation Firm Investment under Power Price Uncertainty

作　　者：黄超[1] 达庆利[1] 

机构地区：[1]东南大学经济管理学院,南京210096

出　　处：《系统工程理论与实践》2007年第6期105-110,共6页Systems Engineering-Theory & Practice

基　　金：教育部博士学科点专项科研基金(20030286008)

摘　　要：电力改革使得发电商成为发电市场上的独立投资主体,在此背景下研究了发电商投资决策问题.从投资收益最大化作为投资决策的基本原则出发,利用鞅和测度转换理论分析了电价的变化特性对发电容量项目最优投资时机和投资概率的影响.结果表明电量电价不确定环境下发电商具有延迟投资的倾向,而容量电价对发电容量投资则具有很强的激励作用.结论显示不确定是投资风险的根源,电价不确定性的增加提高了发电商的投资风险,降低了发电项目的投资概率.Reformation of the power industry makes generation companies become independent investment body in power generation market, this article studies generation companies＇ investment decisions. Based on the basic investment principle that generation companies always are in pursuit of maximum investment profit, it is analyzed that power price movement property has effect on the timing and probability of generation capacity project investment exercise through martingale and change of measure in this paper. The studies show that generation companies generally delay investing under energy price uncertainty, and capacity price has much incentive to invest in capacity project. The conclusion indicates that uncertainty is causes of investment risk, the increasing in uncertainty of energy price raises investment risk of generation companies, and reduces the probability of generation project investment exercise.

关 键 词：发电市场 发电商 电量电价 容量电价 投资时机 投资概率 

分 类 号：F830[经济管理—金融学]