气候政策不确定条件下的发电投资优化模型

Optimization model of generation investment under uncertainty of climate policy

在温室气体减排背景下,本文研究了不确定条件下的大型发电企业的投资决策问题.采用实物期权方法评估发电企业投资燃煤发电+CCS技术,天然气联合循环发电(NGCC)+CCS技术,风电技术的收益,并采用蒙特卡洛模拟法得到多种场景下的投资收益分布,之后采用投资组合优化模型得到最优的发电组合决策.该模型同时考虑了投资者的收益、主观风险偏好和碳减排目标.情景分析所得结论如下:相比风险中性电力企业,谨慎电力企业的最优组合决策中天然气发电比例减小,煤电比例增加;国家碳减排政策走势、行业CO_2减排目标、燃料价格不确定性及CCS技术的投资成本是影响发电企业投资决策的主要因素.对该模型的情景分析结果可以为国家宏观决策提供依据.

In the context of greenhouse mitigation, this paper analyzes the investment decision of large-scale power company under uncertainties who can choose to invest in coal-fired power generation with CCS, natural gas combined cycle power generation （NGCC） with CCS or wind power technology. We establish a real option model to evaluate the profit of generating investment. Using Monte Carlo simulation, we get the profit distribution under a variety of scenarios and then put them into the portfolio model for analysis which takes into account the investor＇s income, subjective risk appetite and carbon reduction targets. The results of scenario analysis are as follows： compared to risk-neutral power company, the cautious power company will decrease investment in NGCC and increase investment in coal-fired power generation. National carbon emissions policy trends, industry CO2 reduction targets, uncertainties of fuel price and cost of investment in CCS technology are major factors of affecting investment decisions. The analysis results can be used for national macro decision- making.