基于两时段的WCVaR风险分析及其应用  

WCVaR Risk Analysis in Two-Time Periods and Calculation

作　　者：何冬梅[1] 童小娇[1,2] 唐民[2] 

机构地区：[1]长沙理工大学数学与计算科学学院,湖南长沙410114 [2]长沙理工大学电气与信息工程学院,湖南长沙410114

出　　处：《经济数学》2011年第4期24-29,共6页Journal of Quantitative Economics

基　　金：湖南省自然科学衡阳联合基金重点资助项目(10JJ8008);国家自然科学基金资助项目(10871031)

摘　　要：针对随机变量的分布信息不完全的情况下,提出了两时段的Worst-Case Conditional Value-at-Risk(WCVaR)指标,并建立了两时段的风险-利润投资组合优化模型,该模型是一高维问题,具有复杂的优化结构.在损失函数为线性以及随机变量为离散界约束分布的假设下,运用最优化对偶理论将具有多层min-max结构的高维复杂模型转化为简单的低维线性规划问题.此研究是单时段WCVaR方法的发展,可有效用在随机变量的分布为非完全分布信息下的风险-利润问题.电力市场是一个典型的风险市场,将提出的两时段WCVaR模型应用于电力市场的电力资产分配问题,数值试验测试了该模型和方法的有效性.According to the known part information of random variable ,this paper presented a concept of worst-case conditional value-at-risk（WCVaR） in two-time periods, and set up a profit-risk robust portfolio model. This model is a high- dimension problem and has multi-layer min-max type. For the case of linear loss function and box discrete distribution of ran- dom variable,the new model can be further reformulated equivalently to simple linear programming problem by using optimal duality theory. This study is the development of one-stage, whicn can be used for risk-profit problems with the uncertain distri- bution of random variables. Becanuse electric power market is a typical risk market, WCVaR in two-time periods was used for solving power asset allocation in power markets,and the numerical results show the validity of the proposed method.

关 键 词：条件风险 两时段 投资组合优化 

分 类 号：TM743[电气工程—电力系统及自动化]