摘要
在成熟的电力市场中,发电商可选择在日前市场、实时市场、辅助服务市场等多个市场中进行交易,以降低风险,提高收益。在不同的电力交易市场中分配容量与证券市场中的资产组合类似,可通过建立均值—条件风险价值模型进行优化。但由于电力商品的一些独特特性,必须对证券市场中的模型进行修正,才能适用于电力市场。建立了电力市场中具有非V型交易费用的均值—条件风险价值模型,并通过模拟计算,比较交易费用对容量分配策略的影响。
In a complete electricity market, a generation company can trade in the day-ahead market, the real-time market, the ancillary services market, and etc. To get higher return rate while remaining the risk in a lower level, the company needs to optimize its capacity allocation strategy which is similar tothe assets portfolio in securities markets. The optimization can be achieved by introducing the mean-conditional value-at-risk （CVaR） model to the electricity market. However, electricity has its special characteristics, and the model must be modified. A novel non-V transaction cost mean-CVaR model was proposed and was then used to compare the influence of the transaction cost on the capacity allocation strategy.
出处
《华东电力》
北大核心
2009年第3期380-384,共5页
East China Electric Power
关键词
条件风险价值
交易费用
容量分配
电力市场
发电商
conditional value-at-risk （CVaR）
transaction cost
capacity allocation
electricity market
generation company
