分形VaR风险度量下的购电组合模型及实证分析  

Purchase Power Portfolio Model and an Empirical Analysis Based on Risk Measure with Fractal Value-at-risk

作　　者：王绵斌[1,2] 谭忠富[2] 张蓉 

机构地区：[1]华北电网有限公司电网建设分公司,北京100140 [2]华北电力大学工商管理学院,北京102206 [3]北京市工程咨询有限公司,北京100031

出　　处：《电力系统及其自动化学报》2009年第6期11-16,共6页Proceedings of the CSU-EPSA

基　　金：国家自然科学基金资助项目(70373017);(70571023)

摘　　要：针对市场环境下供电公司的购电策略进行研究。介绍了分形理论,并给出其特征函数的表达式;根据风险价值的定义和性质,推导出分形分布下VaR风险度量的计算公式;在传统投资组合模型的基础上,构建供电公司的购电组合优化模型,通过求解可得出供电公司的最优购电策略;以美国加州电力市场上网电价的实际数据为基础,运用Stable程序对其分形特征函数的参数进行估算,并采用K-S法对其拟合程度进行检验,结果表明上网电价服从分形分布。算例表明,本文构建的模型是可行的,可为供电公司购电策略提供一定的参考。The purchase strategy of the power supply company under market environment is studied in the paper. The fractal distribution is introduced and its characteristic function expression is presented. According to the definition and charaeterics of value at risk（VAR）, the calculation formula of VAR based on fraetal distribution is derived; and the electric purchase portfolio optimal model of the power supply company is constructed on the basis of traditional invest portfolio model, the optimal electric purchase strategy of the power supply company can be obtained from the solution of the model. Based on the real price on grid data of California electricity market, the stable procedures is used to estimate the parameters of its fractal distribution characteristic function, and the Kolmogorov-Smirnove method is applied to test its fitting level, whose result shows that the price on grid obeys fractal distribution. The final example demonstrates that the model constructed in this paper is feasible, and can provide certain information for electric purchase of the power supply company.

关 键 词：分形分布 特征函数 风险价值 风险度量 购电组合 

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]