基于谱风险度量的大用户直购电组合模型分析  

Model Analysis of Large Consumers’ Power Purchase Portfolio Based on Spectral Measuers of Risk

作　　者：张宗益[1] 亢娅丽[1] 郭兴磊[1] 

机构地区：[1]重庆大学经济与工商管理学院,重庆400030

出　　处：《电工技术学报》2013年第1期266-270,284,共6页Transactions of China Electrotechnical Society

基　　金：国家自然科学基金(70941029);国家电网浙江省电力公司科技项目(ZDK041-2011)资助

摘　　要：针对大用户在多个市场上的购电组合问题,从期望收益和风险角度进行综合分析,建立了考虑大用户主观风险厌恶程度的以期望收益最大、谱风险度量的风险最小的电能购买优化模型并求解。算例结果表明:同VaR、ES相比,谱风险度量不用先验地选择置信水平,大用户可以根据自己的风险厌恶程度自由选择谱风险函数,基于谱的风险度量方法更加灵活实用;所建模型可以为大用户在各个市场间的购电比例和风险评估提供决策支持。The paper researches the large consumer’s power purchase problem from different markets and analyzes the optimal purchase portfolio based on expected profit and risk.The optimal purchase model is established,which takes the maximum expected profit and minimum spectral risk considering large consumer’s subjective risk aversion.Calculation results show that the spectral risk method is more flexible and practical compared with VaR and ES,without setting the confidence level previously.The large consumers can choose spectral risk freely according to the degree of risk aversion.Meanwhile,the proposed model provides the large consumers a decision way of purchase proportions from different markets and risk valuation.

关 键 词：大用户直购电 谱风险 风险厌恶函数 风险度量 

分 类 号：TM734[电气工程—电力系统及自动化] F206[经济管理—国民经济]