基于WCVaR风险度量的发电商电量分配模型

电力市场中,发电商需要合理分配发电量以追求总利润最大、风险最小。以最坏情况风险价值(WC-VaR)作为风险度量因子,建立了发电商在保证一定的期望收益率下WCVaR风险值最小的发电量分配模型,并对其在实时平衡市场、日前市场和中、远期合约市场的发电量分配比例及有效前沿进行了仿真测验。结果表明,所提出的电量分配模型能较真实地反映发电商所面临的市场风险的本质特性,表明了理论分析的正确性和模型的有效性,从而为发电商的投标决策和风险评估提供了新思路。

Optimization Portfolio Allocation for Generation Companies Based on Worst-case Conditional Value-at-risk

To obtain the maximal profit and the minimum risk,it is the duty of generation companies to allocate energy reasonably in power market.Taking the WCVaR as risk management index,an optimal energy allocation model was built for generation companies.Plentiful cases were simulated to test the efficient frontier of models and the energy asset allocation ratio for generation companies among real time equilibrium market,day ahead market,middle-term and long-term contract market.The simulation result shows that the proposed model can exactly reflect the essential characteristics of the market risks which the generation companies must face,the theoretical analysis is correct and the new models are valid.Thereby,the proposed model can be applied to purchasing strategies and risk evaluation of generation companies.