| 引用本文: | 朱文昊,谢品杰.基于CVaR的峰谷分时电价对供电公司购电组合策略影响分析[J].电力系统保护与控制,2015,43(14):16-21.[点击复制] |
| ZHU Wenhao,XIE Pinjie.Influence analysis of CVaR model based TOU electricity price on portfolio strategy[J].Power System Protection and Control,2015,43(14):16-21[点击复制] |
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| 摘要: |
| 基于条件风险价值(CVaR)在风险度量中的优越性，在确保满足基本收益的前提下，以供电公司购电损失的CVaR值最小化为目标，构建了峰谷分时电价下的供电公司最优购电组合模型。进而，利用该模型对供电公司在实时市场、日前市场和中长期合约市场3个市场的供电量分配比例和有效前沿进行了算例分析，着重分析了峰谷时段不同电价差额比例对供电公司购电策略的影响。分析结果表明：相近购电组合条件下，供电公司所承担的风险随着峰谷分时电价差额比例变大而变小。供电公司可依据当地电价水平政策，适当调整不同购电市场购电量来规避经营风险。 |
| 关键词: 峰谷分时电价 电力市场 电价 条件风险价值(CVaR) 供电公司 购电组合策略 |
| DOI：10.7667/j.issn.1674-3415.2015.14.003 |
| 投稿时间：2014-10-20修订日期：2014-12-10 |
| 基金项目:国家自然科学基金青年项目(71103120)；教育部人文社会科学研究青年基金项目(10YJC790299) |
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| Influence analysis of CVaR model based TOU electricity price on portfolio strategy |
| ZHU Wenhao,XIE Pinjie |
| (School of Economics and Management, Shanghai University of Electric Power, Shanghai 200082, China) |
| Abstract: |
| Based on advantages of CVaR in risk measurement and on the premise of guaranteeing basic profits, taking minimum CVaR value of power supply company as a target, this paper establishes the optimal power purchasing model under TOU electricity price. In turn, using the model it analyzes different purchasing proportion in real-time electricity market, day-ahead electricity market, and mid-long term contract market and efficient frontier of E-CVaR at different price levels, and focuses on the influence of TOU on the portfolio strategy. The analysis result shows that the risk of running of power supply company decreases as electric price difference ratio increases among the similar portfolios. According to the local electric price level, power supply company may avoid risk through adjusting the purchase in different electricity markets. |
| Key words: TOU electricity price electricity market electricity price conditional value at risk power supply company electricity purchasing portfolio strategy |
