| 基于均值方差模型的柔性资源投资组合策略 |
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| 引用本文： | 杨斌,沈宏伟,张昊纬,杨永标,陈楚.基于均值方差模型的柔性资源投资组合策略[J].现代电力,2019,36(5):82-86. |
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| 作者姓名： | 杨斌 沈宏伟 张昊纬 杨永标 陈楚 |
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| 作者单位： | 1.国网江苏省电力有限公司,江苏南京 210029; |
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| 基金项目： | 国家电网公司2017年科技项目(SGJS0000 YXJS1700314) |
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| 摘 要： | 随着需求响应在电力市场中深度应用,负荷聚合商作为新的参与主体在市场平衡中发挥着调峰避峰、提供需求侧备用的重要作用。然而,针对负荷聚合商柔性资源风险管理方法方面的研究尚有不足。因此,提出一种基于均值方差风险模型的柔性资源投资组合策略。该方法能够基于一定的预期收益,优化得到最小化风险的柔性资源投资组合方法。通过分析算例,证实了该方法与基线方法相比能够有效降低投资风险,提高负荷聚合商的经济效益。
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| 关 键 词： | 需求响应 负荷聚合商 均值方差模型 最小化风险 投资组合方法 |
| 收稿时间： | 2018-09-10 |
Portfolio Method of Demand Response Resource Based on Mean-variance Theory |
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| Affiliation: | 1.State Grid Jiangsu Electric Power Company, Nanjing 210029, China;2.NARI Group Corporation, Nanjing 211106, China |
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| Abstract: | With the deep application of demand response in the power market, load aggregators, as a new participant, play an important role in electric market recruiting demand response resources and participating in demand management. However, research on risk management portfolio methods of load aggregators has not been studied fully. In this paper, a portfolio method of demand response resource based on mean-variance theory is proposed to assist load aggregators to generate the minimum risk portfolio for a certain expected return. The case study shows that the proposed method can be used to reduce the investment risk compared with the base-line method. |
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