基于β系数的发电商投标组合决策模型  

Combined bidding decision-making model for power suppliers based on β-coefficient

作　　者：谭忠富[1] 谢品杰[1] 侯建朝[1] 陈广娟[1] 

机构地区：[1]华北电力大学电力经济研究所,北京102206

出　　处：《电力系统保护与控制》2009年第1期14-18,49,共6页Power System Protection and Control

基　　金：国家自然科学基金(70373017;70571023)~~

摘　　要：电力市场环境下,发电商面临着各种不确定性,因此,需要在各市场合理分配参与竞价的电量,以实现收益最大化的同时有效的规避风险。为此,借鉴金融学中的资本资产定价模型和单指数模型,区分了系统风险和非系统风险,引入市场灵敏度指数作为风险选择参数,对经典均值—方差模型进行简化,建立了发电商基于β系数的投标组合决策模型,并讨论了模型解存在的充要条件。算例仿真验证了所提出的模型的有效性和适用性,表明本模型对发电商的投标组合决策具有一定的参考价值和指导作用。In the electricity market, power suppliers are faced with all kind of uncertainty, therefore, need allocate the binding electricity in various markets reasonably to achieve maximum profits at the same time effectively avoid risks. Using capital asset pricing model （CAPM） and single index model in financial research field for reference, the system risk and the non-system risk is distinguish, the index of market sensitivity is introduced to take the risk choice parameter, a novel combined bidding decision-making model for power suppliers based on β-coefficient is built by simplifying the classic mean-variance model, and the sufficient and necessary conditions of the model solution existence is discussed. Finally, the simulation example has confirmed the validity and availability of the model, and shows that the proposed model provides some reference value and guiding role for power suppliers.

关 键 词：电力市场 投标组合 资本资产定价模型 单指数模型 

分 类 号：F224[经济管理—国民经济] F407.61