发电商资产组合研究

发电商在电力市场中的整个决策过程可分为3个阶段:投资决策、资产组合和策略选择.资产组合与投资决策和策略选择一样,是整个发电商效用最大化问题的重要一环.文中基于证券投资领域近年来的研究成果,提出了一种方法,根据该方法对电力市场重新建模,并对该方法的可信性和有效性进行了全面的验证和考察.为了使结果更有可信度,算例采用实际电力市场(PJM)的真实电价数据.算例和拓展计算的结果反映了该资产组合方法的可信性扣有效性,且不同的资产组合会使发电商的收益和风险产生很大的差别.

Research on Capital Allocation of Power Producer

The decision-making problem that an IPP (Independent Power Producer) faces can be divided into 3 stages, viz. investment decision, capital allocation and strategic bidding. Capital allocation is as important as the other two and has significant impact on the IPP's utility function. Based on the recent research achievements in the field of securities investment, a method is proposed for the remodeling of electricity market, and the reliability and validity of the method are roundly examined. To demonstrate the practicality of the method proposed, the actual electric price data of a real world electricity market PJM are used in the numeric examples. The results of base case and extensive calculation show that different capital allocation solutions can make big difference for the generators' profits and risks, and the capital allocation method proposed is practical, effective and potentially very useful