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风险与收益同时同向变化,综合考虑了风险与收益的变动情况,运用金融领域风险管理资本收益率模型对电网企业的购电组合优化问题进行研究。根据电力市场中的购电决策特点,对现货市场、期货市场和合约市场的购电分配问题进行了具体分析,探寻期望收益与电价、电量之间的函数关系。运用在险价值推导出电价服从对数正态分布时的风险度量计算公式,从而构建购电组合优化决策模型。最后通过算例分析,对不同置信水平和不同的风险偏好程度下的最优购电方案进行预测。结果表明电量分配主要由风险偏好程度决定,并且随着风险厌恶程度的增加,现货市场分配的电量逐渐减少,该结论对成熟电力市场条件下电网企业防范风险具有指导意义。结果表明电量分配主要由风险偏好程度决定,并且随着风险厌恶程度增加,现货市场分配的电量逐渐减少,该结论对成熟电力市场条件下电网企业防范风险具有指导意义。
Risk and return simultaneously change in the same direction, taking into account the changes in risk and return, and using the return on risk model of risk management in the financial sector to study the power company portfolio optimization problem. According to the characteristics of electricity purchase decision in power market, this paper analyzes the purchase and distribution of electricity in spot market, futures market and contract market, and explores the functional relationship between expected return and electricity price and electricity consumption. This paper uses the risk value to deduce the formula of risk measurement when the electricity price obeys the lognormal distribution, so as to build a portfolio optimization decision-making model. Finally, through case study, the optimal power purchase plan under different levels of confidence and risk preference is predicted. The results show that the power distribution is mainly determined by the degree of risk preference, and with the increase of risk aversion, the electricity distribution in the spot market gradually decreases. This conclusion is instructive for the grid enterprises to guard against the risk in the mature power market. The results show that the power distribution is mainly determined by the degree of risk preference, and as the degree of risk aversion increases, the electricity distribution in the spot market gradually decreases. This conclusion is instructive for the prevention of risks in power grid enterprises in the mature power market.