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1、电力市场下长期购电方案及风险评估第26卷第6期2006年3月中国电机工程ProceedingsoftheCSEEVb1.26No.6MaL2006~2006Chin.Soc.forElec.Eng.文章编号:0258.8013(2006)06.0116.07中图分类号:TM73;F123.9文献标识码:A学科分类号:470?40电力市场下长期购电方案及风险评估周明1,聂艳丽,李庚银,倪以信2f1.电力系统保护与动态安全监控教育部重点实验室(华北电力大学),河北省保定市071003;2.香港大学电机与电子工程系,香港)Long
2、-termElectricityPurchasingSchemeandRiskAssessmentinPowerMarketsZHOUMing,NIEYan...1i,LIGeng.yin,NIYi-xin(1.KeyLaboratoryofPowerSystemProtectionandDynamicSecurityMonitoringandControlunderMinistryofEducation,NorthChinaElectricPowerUniversity,Baoding071003,HebeiProvinc
3、e,China;2.DepartmentofElectricalandElectronicEngineering,TheUnive~ityofHongKong,HungKong,China)ABSTRACT:ThispaperresearcheselectricitypurchasingstrategyandriskassessmentforElectricityPurchaser(EP).ThroughanalyzingthecharacteristicsinvolvinginEP'Slong-termelectricit
4、ypurchasingproblem,ageneralmodelbasedonmodemportfoliotheoryispresented.Detaildiscussionsarefocusedonelectricitypurchasingportfolioselectionontwocommonlyexistingmarkets:long-termcontractandspotmarket,inorderfordiscoveringtherelationshipbetweenlong-termcontractprice,
5、contractamountwithspotprice.WhentheEP'Sattitudetowardriskistakenintoaccount,theutilityfunctionandValue-at-Riskapproachcommonlyusedinfinancialengineering,isappliedtodeterminetheallocationportfolioandasseSSthepurchasingportfolio'srisk.Finally,accordingtotheseparatedb
6、iddingmodeofonpeal(andoff-peak,thesimulationsaremadeforselectingpurchasingportfolioandassessingtheriskoftheportfolio.Theresultsshowthattheresearchpmvitiesasystematicapproachonelectricitypurchasingselectionandriskassessment.KEYWORDS:electricpowerengineering;electric
7、itypurchasing;riskassessment;valueatrisk;powermarkets摘要:系统研究了购电商(ElectricityPurchaser,EP)的购电分配及风险评估问题.通过分析电力市场中EP长期购电特点,按照现代投资组合理论建立购电组合问题的一般模型,并对目前普遍存在的长期合同和现货2市场间的购电分配问题进行具体分析,探寻长期合同价格,合同电量与现货市场价格之间的关系.进一步考虑EP的风险偏好时,采用金融领域广泛采用的效用函数和Value.at.Risk(VaR)方法建立了确定最佳组合方案
8、和定量评估风险的模型.最后,针对高峰和低谷分开竞争的市场运营模式,确定EP的购电组合并进行风险评估,并用算例进行定量验证.文章旨在建立基金项目I北京市自然科学基金资助项目(9062008).购电组合和风险评估的方法论.关键词:电力工程;购电组合;风险评估;风险价值;电力市场0引言电力市场在