基于双曲型谱风险度量的大用户购电策略  

Big Users' Electricity Purchasing Strategy Based on Hyperbolic Spectrum Risk Measure

作　　者：鲁皓 林荫华 LU Hao;LING Yin-hua(School of Economics and Management, Chongqing Jiaotong University, Chongqing 400074, China;School of Economics and Business Administration, Chongqing University, Chongqing 400044, China)

机构地区：[1]重庆交通大学经济与管理学院,重庆400074 [2]重庆大学经济与工商管理学院,重庆400044

出　　处：《运筹与管理》2018年第4期138-143,共6页Operations Research and Management Science

基　　金：国家自然科学基金重大项目(71133007);重庆市教委人文社科项目(16SKGH070);重庆市社会科学规划项目(2017PY40)

摘　　要：直购电模式正在推行,大用户与电网公司的风险偏好却各不相同。本文将风险偏好纳入结算策略,建立了基于双曲型谱风险的购电优化模型,并用PJM日前市场的数据进行了实证分析。探讨了风险厌恶因子的敏感范围,将大用户划分为积极、稳健和保守三种类型,分别讨论了其购电策略。结果表明:无论风险偏好如何,大用户总愿意为获得高收益而承担更高的风险;风险偏好是购电策略的重要影响因素;当风险偏好既定时,大用户在远期合同市场和日前市场的购电比例可由谱风险值确定。随着谱风险值的增加,大用户会减少远期合同市场的购电量,更倾向于在日前市场购电。Although a direct power purchase mode has become more popular, the big users and grid companies have different-risk preferences. Considering risk preference for the strategy, tiffs paper establishes the optimization model of electricity purchasing based on the hyperbolic spectral risk measure, and the PJM market data has been used in the empirical analysis. According to the range of the risk aversion factor, the big users could be divided into three types, that is, active, prudent and conservative. We discuss their electricity purchasing strategy. and the results are as follows： the big users are always willing to take greater risks in order to obtain high yield regardless of the risk preference ; risk appetite is one of the important factors affecting electricity purchasing strategy; when risk appetite is established, power purchase ratio in the forward contract and day-ahead market can be determined by spectral risk value. With the increase of value at risk of spectrum, the big users will reduce the purchasing power of the forward contract market, and tend to buy more in the electricity market.

关 键 词：直购电 谱风险测度 双曲型绝对风险厌恶 有效前沿 

分 类 号：F224[经济管理—国民经济]