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| 偏度风险价值下供电公司/电力零售公司动态购电组合策略 | |
| 引用本文： | 陈彦州,赵俊华,文福拴,杨首晖,方日升.偏度风险价值下供电公司/电力零售公司动态购电组合策略[J].电力系统自动化,2011,35(6):25-29. |
| 作者姓名： | 陈彦州 赵俊华 文福拴 杨首晖 方日升 |
| 作者单位： | 1. 华南理工大学电力学院,广东省广州市,510640 2. 浙江大学电气工程学院,浙江省杭州市,310027 3. 福建省电力有限公司,福建省福州市,350003 |
| 基金项目： | 国家科技支撑计划资助项目 |
| 摘 要： | 在存在多个不同类型市场的环境下,供电公司或电力零售公司(简称零售公司)需提前对各市场的电价进行预测以构造最优购电策略.理论上,零售公司只有合理计及购电收益函数的3阶矩(即偏度)才可能得到最优购电策略,因此有必要研究偏度的具体表达形式和应用方法.由于负荷需求具有不确定性,购电过程就具有动态特征.在此背景下,以风险价值(V... |
| 关 键 词： | 电力市场 电力零售公司 动态购电组合 风险价值 偏度 风险管理 |
| 收稿时间： | 2010/8/29 0:00:00 |
| 修稿时间： | 3/5/2011 4:07:25 PM |
A Skewness-VaR Based Dynamic Electricity Purchasing Strategy for Power Supply Companies/Retail Companies |
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| CHEN Yanzhou,ZHAO Junhu,WEN Fushuan,YANG Shouhui,FANG Risheng.A Skewness-VaR Based Dynamic Electricity Purchasing Strategy for Power Supply Companies/Retail Companies[J].Automation of Electric Power Systems,2011,35(6):25-29. | |
| Authors: | CHEN Yanzhou ZHAO Junhu WEN Fushuan YANG Shouhui FANG Risheng |
| Affiliation: | CHEN Yanzhou1,ZHAO Junhua2,WEN Fushuan2,YANG Shouhui3,FANG Risheng3(1.South China University of Technology,Guangzhou 510640,China,2.Zhejiang University,Hangzhou 310027,3.Fujian Electric Power Company Limited,Fuzhou 350003,China) |
| Abstract: | In the electricity market environment,a power supply company or a retail company needs to predict the electricity prices in various markets so as to develop an optimal purchasing strategy.Theoretically,the higher-order moments of the profit function associated with the retail company concerned,especially the third moment or the so-called skewness are not negligible in the decision-making process;or in other word,in building an optimal purchasing strategy for a retail company it is necessary to reasonably ac... |
| Keywords: | electricity market electricity retail company dynamic electricity purchasing portfolio value at risk(VaR) skewness risk management |
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