摘要
在电力市场环境下,发电商面临如何在不同市场中分配发电量来达到利益最大化,并且使风险最小或者将风险控制在一定的范围之内。详细分析了发电商资产组合问题,并且建立了含无风险资产的均值-LPM模型来解决该问题。基于期望效用原则、随机占优理论和收益-风险理论,常用的风险度量指标(如方差、VAR及CVAR等)最理想的情况也只是和二阶随机占优理论一致,而二阶LPM是和三阶随机占优相一致的,因此LPM构建的效用函数最能反映出投资者的心理过程。最后采用真实市场数据进行算例分析,结果表明均值-LPM模型能有效分配资产比例和控制市场风险。
In the context of power market, power producers need to allocate generation capacities to maximize the profit while minimize risks or control the risks in a certain range. In this paper, capital allocation of power producers is analyzed in detail, and mean-LPM model with a risk free asset is established to solve this problem. Based on expected utility theory, stochastic dominance and return-risk theory, the common risk measure indexes(such as variance, VAR and CVAR) correspond to second-order stochastic dominance at most, while second-order LPM is consistent with third-order stochastic dominance. Therefore, the utility function formulated by second-order LPM can best reflect mental process of investors. Finally, real market data are used in a numerical study to test the proposed model and the results show that the mean-LPM model can efficiently allocate the capital proportion and control market risk.
出处
《浙江电力》
2018年第1期1-7,共7页
Zhejiang Electric Power
基金
国家自然科学基金项目(51477151)
关键词
电力市场
风险管理
COPULA函数
LPM
随机占优
资产组合
相关性度量
power market
risk management
copula function
lower partial moments
stochastic dominance
capital allocation
dependence measure