基于现代投资组合理论的大用户购电组合策略研究
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摘要
大用户直购电的实施使得大用户有机会从多个市场购电,因此研究大用户购电组合问题就非常必要并具有重要的经济意义。
针对大用户购电的特点,将其购电决策分为长期购电决策和短期购电决策,通过长期购电决策确定其远期合同及可中断合同电量,通过短期购电决策确定其在现货市场及自备电厂中的购电量。以大用户在远期合同市场、现货市场中购电,考虑自备电厂及可中断负荷的作用,借鉴现代投资组合理论中的Markowitz模型推导了购电组合的有效前沿。同时引入偏离度的概念,建立考虑大用户购电成本及风险的最优化模型,并针对Markowitz模型的不足引入E-CVaR模型对其进行改进,从而得到大用户购电量在各市场中的分配比例,并通过算例验证。
The research on large consumer electricity purchasing strategy is vital and of important economic significance based on the situation that the large consumers have opportunities to purchase electricity directly from different ways.
The electricity purchasing decision of large consumers will be divided into long-term and short-term electricity purchasing decision in this paper. The quantity of electricity purchased in long-term contracts and interrupted electricity contracts are determined by long-term electricity purchasing decision. And the others are determined by short-term electricity purchasing decision. Considering purchasing electricity through long-term contracts and from spot markets, as well as taking self-served power plants and interruptible service into account, the efficient frontier is inferred by a Markowitz model based large consumer electricity purchase portfolio model, and a deviation degree based large consumer electricity purchasing decision model is proposed to determine the electricity purchasing-amount in varies markets. And an E-CVaR model is also proposed to improve the inadequacies of Markowitz model. The relevant theoretical analysis and numerical tests are given.
针对大用户购电的特点,将其购电决策分为长期购电决策和短期购电决策,通过长期购电决策确定其远期合同及可中断合同电量,通过短期购电决策确定其在现货市场及自备电厂中的购电量。以大用户在远期合同市场、现货市场中购电,考虑自备电厂及可中断负荷的作用,借鉴现代投资组合理论中的Markowitz模型推导了购电组合的有效前沿。同时引入偏离度的概念,建立考虑大用户购电成本及风险的最优化模型,并针对Markowitz模型的不足引入E-CVaR模型对其进行改进,从而得到大用户购电量在各市场中的分配比例,并通过算例验证。
The research on large consumer electricity purchasing strategy is vital and of important economic significance based on the situation that the large consumers have opportunities to purchase electricity directly from different ways.
The electricity purchasing decision of large consumers will be divided into long-term and short-term electricity purchasing decision in this paper. The quantity of electricity purchased in long-term contracts and interrupted electricity contracts are determined by long-term electricity purchasing decision. And the others are determined by short-term electricity purchasing decision. Considering purchasing electricity through long-term contracts and from spot markets, as well as taking self-served power plants and interruptible service into account, the efficient frontier is inferred by a Markowitz model based large consumer electricity purchase portfolio model, and a deviation degree based large consumer electricity purchasing decision model is proposed to determine the electricity purchasing-amount in varies markets. And an E-CVaR model is also proposed to improve the inadequacies of Markowitz model. The relevant theoretical analysis and numerical tests are given.
引文
[1] 王锡凡,王秀丽,陈皓勇.电力市场基础.西安:西安交通大学出版社,2003.
[2] 于尔铿,韩放,谢开.电力市场.北京:中国电力出版社,1998.
[3] 丁乐群,黄兴,柳艳青,等.大用户直购电中大用户的概念及范围界定.华中电力,2007,20(3):28~31.
[4] 贺元启.电力大用户直供试点刍议.大众用电,2003,18(1):14~15.
[5] 黄兴,翟绘景,陆晓明.大用户直购电所面临的三个核心问题探讨.电力需求侧管理,2007,9(3):78~80.
[6] Markowitz H M.Portfolio Selection.Journal of Finance,1952,7 (1):77~91.
[7] 滋维·博迪,亚历克斯·凯恩,艾伦·J·马库斯.投资学(朱保宪,吴洪,赵冬青,等译).机械工业出版社.
[8] 徐丽梅.现代投资组合理论及其分支的发展综述.首都经济贸易大学学报,2006,4:75~79.
[9] 杨雯靖.现代投资组合理论的比较研究.三峡大学学报,2006,28(5):59~61.
[10] 杨舸,闵小平.现代投资组合理论的基础与前沿分析.海南金融,2006,11:26~29.
[11] Outhred H.A review of electricity industry restructuring in Australia.Electric Power Systems Research,1998,1 (44):15~25.
[12] 向真.电力市场中大用户直购电模式的理论与实证研究:[硕士学位论文].北京:华北电力大学,2004.
[13] 何水秀,黄文杰,赵晓丽.大用户直购电辅助服务成本分摊机制.华北电力大学学报,2004,31(4):70~74.
[14] 梁睿,徐辉,夏会军.大用户直购电对电网企业影响的测算分析.电力需求侧管理,2005,7(6):16~18.
[15] 陈刚,王超,谢松.基于博弈论的大用户直购电交易研究.电网技术,2004,28(13):75~79.
[16] 包建华,方建华.煤电产业战略联盟及其利益分配的博弈分析.运筹与管理,2002,11(5):24~30.
[17] 石长华.基于博弈论的大用户直接购电研究:[硕士学位论文].南京:南京理工大学,2006.
[18] 康重庆,白利超,夏清,等.电力市场中发电商的风险决策.中国电机工程学报,2004,24(8):1~6.
[19] 沈瑜,夏清,康重庆,等.发电市场环境下购电计划模型的研究.清华大学学报,2001,41(9):26~30.
[20] 乞建勋,方军,牛东晓.考虑系统稳定性的供用电交易模型.中国电机工程学报,2005,25(5):84~87.
[21] Bunn D W.Forecasting loads and prices in competitive power markets.Proc. of the IEEE,2000,88(2):163~169.
[22] 周浩,康建伟,陈建华,等.蒙特卡罗方法在电力市场短期金融风险评估中的作用.中国电机工程学报,2004,24(12):74~77.
[23] Denton M,Palmer A,Masiello R,et a1.Managing market risk in energy.IEEE Trans on Power Systems,2003,l8(2):494~502.
[24] Dahlgren R,Liu C C,Lawarree J.Risk assessment in energy trading.IEEE Trans on Power Systems,2003,l8(2):503~5l1.
[25] Chen G,Wang C,Xie S,et al.Study on bargaining of large power consumer’s direct buying based on game theory.Power System Technology,2004,28(13):75~79.
[26] Li Haiying,Li Yuzeng,Li Zuyi. A multi period energy Acquisition model for a distribution company with distributed generation and interruptible load. IEEE Trans on Power Systems,2007,22(2):588~596.
[27] 徐玮,康重庆,揣小勇,等.基于不确定型电力电量平衡的电网企业购电成本分析.电网技术,2006,30(21):15~20.
[28] Yan H,Yan H,Zhang H.Demand allocation analysis for energy purchasers in deregulated energy markets. International Conference on Electric Utility Deregulation and Restructuring and Power Technologies Proceedings,2000:344~348.
[29] Woo C-K,Karimov R I,Horowitz I.Managing electricity procurement cost and risk by a local distribution company.Energy Policy,2004,32(5):635~645.
[30] Liu Y,Guan X H.Purchase allocation and demand bidding in electric power markets.IEEE Trans on Power Systems,2003,18(1):106~112.
[31] 韩金山,张世英,张文泉,等.零售市场单一卖方的最优风险管理策略.电网技术,2004,28(13):54~59.
[32] 王建辉.电力市场中购电风险模型分析.电网技术,2005,29(9):54~59.
[33] 刘敏,吴复立.电力市场环境下发电公司风险管理框架.电力系统自动化,2004,28(13):1~5.
[34] Sioshansi F P.The emergence of trading and risk management in liberalized electricity markets.Energy Policy,2002,30(10):449~459.
[35] 周明,李庚银,严正,等.考虑备用和风险的供电企业最优购电计划.电网技术,2005,29(3):33~67.
[36] Bjorgan R,Liu C C,Lawarree J.Financial risk management in a competitive electricity market.IEEE Trans on Power Systems,1999,14(4):1285~1291.
[37] 任震,黄福全,黄雯莹,等.电力市场中的发电厂投标组合策略.电力系统自动化,2002,26(2):14~17.
[38] 郭金,江伟,谭忠富.风险条件下供电公司最优购电问题研究.电网技术,2004,28(11):18~22.
[39] 王壬,尚金成,冯旸,等.基于 CVaR 风险计量指标的发电商投标组合策略及模型.电力系统自动化,2005,29(14):5~9.
[40] 邓华.电力项目投资风险分析及管理:[硕士学位论文].北京:对外经济贸易大学,2000.
[41] 刘小茂,田立.VaR 与 CVaR 的对比研究及实证分析.华中科技大学学报,2005,33(10):113~114.
[42] 刘俊山.基于风险测度理论的 VaR 与 CVaR 的比较研究.数学经济技术经济研究,2007,3:125~133.
[43] 田新民,黄海平.基于条件 VaR(CVaR)的投资组合优化模型及比较研究.数学的实践与认识,2004,34(7):39~49.
[44] 王秀国,邱菀华.基于 CVaR 和 Monte Carlo 仿真的贷款组合决策模型.计算机工程与应用,2007,43(4):26~29.
[45] 鲁美娟,鲁美霞.基于 CVaR 和 RAROC 的投资组合优化模型.商场现代化,2007,2:200~201.
[46] 胡黄山.基于 CVaR 的投资组合理论及实证研究:[硕士学位论文].沈阳:东北大学,2005.
[2] 于尔铿,韩放,谢开.电力市场.北京:中国电力出版社,1998.
[3] 丁乐群,黄兴,柳艳青,等.大用户直购电中大用户的概念及范围界定.华中电力,2007,20(3):28~31.
[4] 贺元启.电力大用户直供试点刍议.大众用电,2003,18(1):14~15.
[5] 黄兴,翟绘景,陆晓明.大用户直购电所面临的三个核心问题探讨.电力需求侧管理,2007,9(3):78~80.
[6] Markowitz H M.Portfolio Selection.Journal of Finance,1952,7 (1):77~91.
[7] 滋维·博迪,亚历克斯·凯恩,艾伦·J·马库斯.投资学(朱保宪,吴洪,赵冬青,等译).机械工业出版社.
[8] 徐丽梅.现代投资组合理论及其分支的发展综述.首都经济贸易大学学报,2006,4:75~79.
[9] 杨雯靖.现代投资组合理论的比较研究.三峡大学学报,2006,28(5):59~61.
[10] 杨舸,闵小平.现代投资组合理论的基础与前沿分析.海南金融,2006,11:26~29.
[11] Outhred H.A review of electricity industry restructuring in Australia.Electric Power Systems Research,1998,1 (44):15~25.
[12] 向真.电力市场中大用户直购电模式的理论与实证研究:[硕士学位论文].北京:华北电力大学,2004.
[13] 何水秀,黄文杰,赵晓丽.大用户直购电辅助服务成本分摊机制.华北电力大学学报,2004,31(4):70~74.
[14] 梁睿,徐辉,夏会军.大用户直购电对电网企业影响的测算分析.电力需求侧管理,2005,7(6):16~18.
[15] 陈刚,王超,谢松.基于博弈论的大用户直购电交易研究.电网技术,2004,28(13):75~79.
[16] 包建华,方建华.煤电产业战略联盟及其利益分配的博弈分析.运筹与管理,2002,11(5):24~30.
[17] 石长华.基于博弈论的大用户直接购电研究:[硕士学位论文].南京:南京理工大学,2006.
[18] 康重庆,白利超,夏清,等.电力市场中发电商的风险决策.中国电机工程学报,2004,24(8):1~6.
[19] 沈瑜,夏清,康重庆,等.发电市场环境下购电计划模型的研究.清华大学学报,2001,41(9):26~30.
[20] 乞建勋,方军,牛东晓.考虑系统稳定性的供用电交易模型.中国电机工程学报,2005,25(5):84~87.
[21] Bunn D W.Forecasting loads and prices in competitive power markets.Proc. of the IEEE,2000,88(2):163~169.
[22] 周浩,康建伟,陈建华,等.蒙特卡罗方法在电力市场短期金融风险评估中的作用.中国电机工程学报,2004,24(12):74~77.
[23] Denton M,Palmer A,Masiello R,et a1.Managing market risk in energy.IEEE Trans on Power Systems,2003,l8(2):494~502.
[24] Dahlgren R,Liu C C,Lawarree J.Risk assessment in energy trading.IEEE Trans on Power Systems,2003,l8(2):503~5l1.
[25] Chen G,Wang C,Xie S,et al.Study on bargaining of large power consumer’s direct buying based on game theory.Power System Technology,2004,28(13):75~79.
[26] Li Haiying,Li Yuzeng,Li Zuyi. A multi period energy Acquisition model for a distribution company with distributed generation and interruptible load. IEEE Trans on Power Systems,2007,22(2):588~596.
[27] 徐玮,康重庆,揣小勇,等.基于不确定型电力电量平衡的电网企业购电成本分析.电网技术,2006,30(21):15~20.
[28] Yan H,Yan H,Zhang H.Demand allocation analysis for energy purchasers in deregulated energy markets. International Conference on Electric Utility Deregulation and Restructuring and Power Technologies Proceedings,2000:344~348.
[29] Woo C-K,Karimov R I,Horowitz I.Managing electricity procurement cost and risk by a local distribution company.Energy Policy,2004,32(5):635~645.
[30] Liu Y,Guan X H.Purchase allocation and demand bidding in electric power markets.IEEE Trans on Power Systems,2003,18(1):106~112.
[31] 韩金山,张世英,张文泉,等.零售市场单一卖方的最优风险管理策略.电网技术,2004,28(13):54~59.
[32] 王建辉.电力市场中购电风险模型分析.电网技术,2005,29(9):54~59.
[33] 刘敏,吴复立.电力市场环境下发电公司风险管理框架.电力系统自动化,2004,28(13):1~5.
[34] Sioshansi F P.The emergence of trading and risk management in liberalized electricity markets.Energy Policy,2002,30(10):449~459.
[35] 周明,李庚银,严正,等.考虑备用和风险的供电企业最优购电计划.电网技术,2005,29(3):33~67.
[36] Bjorgan R,Liu C C,Lawarree J.Financial risk management in a competitive electricity market.IEEE Trans on Power Systems,1999,14(4):1285~1291.
[37] 任震,黄福全,黄雯莹,等.电力市场中的发电厂投标组合策略.电力系统自动化,2002,26(2):14~17.
[38] 郭金,江伟,谭忠富.风险条件下供电公司最优购电问题研究.电网技术,2004,28(11):18~22.
[39] 王壬,尚金成,冯旸,等.基于 CVaR 风险计量指标的发电商投标组合策略及模型.电力系统自动化,2005,29(14):5~9.
[40] 邓华.电力项目投资风险分析及管理:[硕士学位论文].北京:对外经济贸易大学,2000.
[41] 刘小茂,田立.VaR 与 CVaR 的对比研究及实证分析.华中科技大学学报,2005,33(10):113~114.
[42] 刘俊山.基于风险测度理论的 VaR 与 CVaR 的比较研究.数学经济技术经济研究,2007,3:125~133.
[43] 田新民,黄海平.基于条件 VaR(CVaR)的投资组合优化模型及比较研究.数学的实践与认识,2004,34(7):39~49.
[44] 王秀国,邱菀华.基于 CVaR 和 Monte Carlo 仿真的贷款组合决策模型.计算机工程与应用,2007,43(4):26~29.
[45] 鲁美娟,鲁美霞.基于 CVaR 和 RAROC 的投资组合优化模型.商场现代化,2007,2:200~201.
[46] 胡黄山.基于 CVaR 的投资组合理论及实证研究:[硕士学位论文].沈阳:东北大学,2005.