发电资产最优组合分配的WCVaR风险度量方法

Generation asset optimal portfolio allocation based on worst-case CVaR

由于多个子市场具有不同的价格波动特性和收益率随机变化特性,为了追求利润最大、风险最小,风险管理方法已用来研究发电资产分配(GAA)问题.为了避免条件风险价值(CVaR)方法解决该问题的不足,建立了基于Worst-case Conditional Value-at-risk(WCVaR)理论的新的3个最优组合模型.在随机变量混合分布条件下将模型进一步简化、推广,并建立了3个相应的发电资产组合分配的模型.对发电商在现货市场和远期合同市场资产的分配比例和有效前沿进行了算例测试,测试结果表明了理论分析的正确性和模型的有效性.

The price fluctuation and stochastic changing characteristics of revenue rate are different in varies sub-markets for power market. To obtain the maximal profit and the minimum risk, risk assessment methods have been used to study the Generation Asset Allocation （GAA）. In order to avoid the inadequacy of the conditional value-at-risk（CVaR） used for GAA, three robust portfolio models based on the concept of the Worst-case Conditional Value-at-Risk （WCVaR） are presented in this paper. Under the mixture distribution of random variables, the proposed models are further reformulated equivalently to some simple forms, and three corresponding robust portfolio optimizations for GAA are set up. Numerical cases are tion ratio for results show simulated to test the efficient frontier of models and the generation asset allocation ratio for the power suppliers between spot market and long-term contract market. The results show that the theoretical analysis is correct and the new models are valid.