发电商多交易策略的有效前沿分析 (一)模型的建立

An Efficient Frontier Analysis for the GenCo Multi-trading Strategy Part One Model Analysis

电力系统和电力市场特殊的技术性约束和结构性约束,使得电力市场中发电商的策略组合可行集与资本市场中投资者的策略组合可行集存在显著差异,而现有的研究对这些差异没有进行系统的探讨,这给发电商多交易策略研究成果应用于实际的发电商决策造成了困难。文中针对目前研究存在的不足,以有效前沿为分析工具,着重探讨电力系统和电力市场的技术性约束和结构性约束对发电商多交易策略可行集的影响,得到了发电商多交易策略有效前沿的形状不同于一般投资市场有效前沿的结论。从理论上阐明了发电商多交易决策中考虑电力市场特殊约束的重要性。

The particular technical and institutional constraints of electric systems and electricity markets result in a significant difference between the feasible strategy set of generation companies in electricity markets and that of investors in capital markets. Despite its importance, this issue is seldom discussed in existing literature. This shortage can constitute an obstacle to the application of GMTS research fruits. For the purpose of addressing the deficiencies of the current GMTS research, the analytic tool of efficient frontier is employed to study the effects of the technical and institutional constraints on the feasible region of GMTS. One of the conclusions drawn in this paper is that the shape of GMTS efficient frontier is different from that of the efficient frontier of ordinary investment markets, which theoretically demonstrates the importance of considering the unique constraints of the electric power market in the GMTS decision.