基于条件风险价值的动态多阶段电力资产配置模型

在开放的电力市场环境下，电力金融市场具有随机性特征，风险控制和资产管理策略是影响电力市场资产配置效果的两大关键因素。根据投资组合的风险分散化原理，文中建立了基于条件风险价值的动态多阶段电力资产配置模型，分析了不同资产调整策略对电力资产配置效果的影响。应用该模型模拟了某电力市场参与者采用不同资产调整策略时投资组合的有效前沿和组合收益率分布情况。实证研究表明，通过电力实物资产、电力衍生产品和相关能源衍生产品的投资组合，并采取合理的动态多阶段资产调整策略，可以有效规避电力市场风险。

Dynamic Multi-Stage Optimization Configuration Model for Electricity Assets Based on Conditional Value at Risk

In unregulated electricity market, the stochastic is one important characteristic of financial markets for electricity, and risk control and assets management strategy are the two key factors impacting assets configuration effect in electricity market. According to the risk diversification principle of investment portfolio, a dynamic multi-stage optimization configuration model for electricity assets based on conditional value at risk (CVaR) is built and the impacts of different assets reallocation strategies on the electricity assets configuration effect are analyzed. Using the proposed model, the efficient frontier and portfolio return distribution of different assets reallocation strategies adopted by participants in a certain electricity market are simulated. Empirical research results show that the risk of electricity market can be evaded effectively through the investment portfolio of physical electricity assets, electricity derivatives and related energy source derivatives and by means of adopting rational dynamic multi-stage assets allocation strategies.