基于均值方差模型的柔性资源投资组合策略

Portfolio Method of Demand Response Resource Based on Mean-variance Theory

随着需求响应在电力市场中深度应用,负荷聚合商作为新的参与主体在市场平衡中发挥着调峰避峰、提供需求侧备用的重要作用。然而,针对负荷聚合商柔性资源风险管理方法方面的研究尚有不足。因此,提出一种基于均值方差风险模型的柔性资源投资组合策略。该方法能够基于一定的预期收益,优化得到最小化风险的柔性资源投资组合方法。通过分析算例,证实了该方法与基线方法相比能够有效降低投资风险,提高负荷聚合商的经济效益。

With the deep application of demand response in the power market,load aggregators,as a new participant,play an important role in electric market recruiting demand response resources and participating in demand management.However,research on risk management portfolio methods of load aggregators has not been studied fully.In this paper,aportfolio method of demand response resource based on mean-variance theory is proposed to assist load aggregators to generate the minimum risk portfolio for a certain expected return.The case study shows that the proposed method can be used to reduce the investment risk compared with the base-line method.