【摘要】 风险与收益同时同向变化,综合考虑了风险与收益的变动情况,运用金融领域风险管理资本收益率模型对电网企业的购电组合优化问题进行研究。根据电力市场中的购电决策特点,对现货市场、期货市场和合约市场的购电分配问题进行了具体分析,探寻期望收益与电价、电量之间的函数关系。运用在险价值推导出电价服从对数正态分布时的风险度量计算公式,从而构建购电组合优化决策模型。最后通过算例分析,对不同置信水平和不同的风险偏好程度下的最优购电方案进行预测。结果表明电量分配主要由风险偏好程度决定,并且随着风险厌恶程度的增加,现货市场分配的电量逐渐减少,该结论对成熟电力市场条件下电网企业防范风险具有指导意义。结果表明电量分配主要由风险偏好程度决定,并且随着风险厌恶程度增加,现货市场分配的电量逐渐减少,该结论对成熟电力市场条件下电网企业防范风险具有指导意义。更多还原

【Abstract】 In view of simultaneous and equidirectional variation between risk and revenue,under the condition of comprehensively considering the variation of risk and revenue,the optimization of power grid enterprises’ purchasing portfolio is researched by means of utilizing the model of risk adjusted return on capital(RAROC) in the field of financial risk management.According to the characteristics of power purchasing decision-making,the concrete analysis on allocation of power purchasing among spot market,option market and contract market is performed to search after the functional relation of expected revenue to the price and quantity of electricity.The computation formula for risk measurement under the condition that the electricity price obeys to logarithmic normal distribution is derived,thus the optimal decision-making model for power purchasing portfolio is constructed.Finally,based on the analysis on calculation example,the optimal power-purchasing scheme under different confidence levels and different degrees of risk-preference is predicted.Prediction result shows that the allocation of electricity quantity is mainly determined by the degree of risk-preference,and along with the increase of the degree of risk-aversion,the electricity quantity allocated in spot market is gradually reduced,and such a conclusion is available for reference to risk prevention of power grid enterprises in mature market environment.更多还原