半绝对离差购电组合优化策略及风险管理

Power Purchasing Portfolio Optimization and Risk Measurement Based on Semi-absolute Deviation

以半绝对离差作为风险计量指标对供电公司利润—风险进行量化,只考虑收益率中低于期望收益率的部分,且不要求收益率服从正态分布。建立了在期望利润约束下以最小化风险为目标的多市场购电组合优化模型。应用该模型,对供电公司在4个市场的购电分配进行了计算,并利用该模型分析了市场价格波动特性以及利润率随机变化特性对购电分配策略的影响。仿真表明,该模型能够反映供电公司面临的市场风险本质特征,使其在保证一定期望利润下承担最小的风险,从而为供电公司的购电决策及其风险评估提供了新的思路。

A novel semi-absolute deviation optimal purchasing portfolio model for multiple markets is proposed by quantizing the risk and expected revenue rate of load serving entity. The semi-absolute deviation is used as a risk measurement index for this model. The model only focuses on the risks which are less than the expected returns and it does not require that the variance of asset returns to follow a normal distribution. Taking the power purchasing in four markets for example, the proposed model is transferred into a linear programming problem. The calculation results show that the proposed model can truly reflect the essential characteristics of power market risk facing the supply companies and guarantee the supply companies to obtain the expected profits at the minimum absolute deviation risk. It provides supply companies a new idea for risk assessment and purchase decision-making.