CVaR风险度量模型在单期发电权交易中的应用  

Application of CVaR Models in the Single-period Generation Rights Trade

作　　者：刘嘉佳[1] 刘俊勇[1] 

机构地区：[1]四川大学电气信息学院,四川成都610065

出　　处：《四川大学学报（工程科学版）》2007年第1期160-165,共6页Journal of Sichuan University (Engineering Science Edition)

基　　金：国家重点基础研究发展计划(国家973计划)专项资助项目(2004CB217905)

摘　　要：为了研究电力市场环境下发电量在发电权交易市场中的分配比例问题,以条件风险价值(CVaR)为风险计量指标,把发电权交易市场分配的电量作为一种无风险资产,建立了带有CVaR约束的期望收益最大化的投标组合模型,讨论发电商的单期发电权交易量分配策略。仿真结果显示,发电权交易的引入,可以使发电商在获得更大收益的同时,规避其他市场中可能存在的风险。该算法对于发电商参与发电权交易具有一定的参考价值和指导作用。In order to determine the generation rights share in the electricity market, an allocation strategy of the sin-gle-period generation rights trade was discussed. Taking the conditional value at risk （CVaR） as a risk measurement index and the allocated generation-rights a riskless asset, a combined bidding model, was built with CVaR constrained condition, to maximize the expected revenue of generation rights trade power producers can gain more can use the proposed algorithm as a reference for trading rate. Simulation results showed that with the introduction profit and evade risks in other markets. Power producers generation rights.

关 键 词：电力市场 发电权交易 单期 投标组合 条件风险价值 

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]