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期权交易对供电公司购电组合的影响
引用本文:王金凤,李渝曾,张少华.期权交易对供电公司购电组合的影响[J].电力系统自动化,2008,32(3):30-32.
作者姓名:王金凤  李渝曾  张少华
作者单位:1. 上海大学机电工程与自动化学院,上海市,200072;郑州大学电气工程学院,河南省郑州市,450001
2. 上海大学机电工程与自动化学院,上海市,200072
基金项目:国家自然科学基金资助项目(50377023).
摘    要:电力市场条件下的供电公司面临在多个市场间购电时收益与风险权衡问题。基于投资组合理论,引入条件风险价值作为风险测量因子,以最小化损失为目标,建立了供电公司在日前现货市场、远期合同市场和金融期权市场间购电的决策模型,重点考虑金融市场中期权交易对购电组合的影响。以3个市场组合购电为算例的计算结果表明:期权的参与可以有效降低供电公司的购电损失,期权价格、敲定价格对购电组合中的市场配额和损失也有较明显的影响;同时也证明了所提出的模型和方法的合理性和有效性。

关 键 词:期权交易  风险管理  组合优化  条件风险价值  电力市场
收稿时间:2007-06-01
修稿时间:2007-08-17

Effects of Options Trade on Purchasing Portfolio for Load Serving Entities
WANG Jinfeng,LI Yuzeng,ZHANG Shaohua.Effects of Options Trade on Purchasing Portfolio for Load Serving Entities[J].Automation of Electric Power Systems,2008,32(3):30-32.
Authors:WANG Jinfeng  LI Yuzeng  ZHANG Shaohua
Abstract:Load serving entities (LSEs) are faced with the trade-off between benefit and risk when they purchase energy from several submarkets under electricity market environment. In terms of a new risk index based on conditional value at risk (CVaR) as the measuring index for market risk, a purchasing model based on portfolio theory is presented, in which the object function is to minimize the portfolio loss among day-ahead market, forward contract market and options market. The focus is put on the effects of options market trade on purchasing portfolio. Examples illustrate that options can effectively lower purchasing portfolio loss, and the price and strike price of options have explicit effect on the portfolio allocation, while the validity and rationality of the model are also demonstrated.This work is supported by National Natural Science Foundation of China (No. 50377023).
Keywords:options trade  risk management  portfolio optimization  conditional value at risk (CVaR)  power market
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