基于谱风险度量的大用户直购电组合模型分析

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Abstract The paper researches the large consumer’s power purchase problem from different markets and analyzes the optimal purchase portfolio based on expected profit and risk. The optimal purchase model is established, which takes the maximum expected profit and minimum spectral risk considering large consumer’s subjective risk aversion. Calculation results show that the spectral risk method is more flexible and practical compared with VaR and ES, without setting the confidence level previously. The large consumers can choose spectral risk freely according to the degree of risk aversion. Meanwhile, the proposed model provides the large consumers a decision way of purchase proportions from different markets and risk valuation.

Key words： Large consumer direct power purchase spectral risk risk aversion function risk measure

Received: 02 December 2010 Published: 27 November 2013

PACS:	TM734
	F206

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	Zhang Zongyi
	Kang Yali
	Guo Xinglei

Cite this article:

Zhang Zongyi,Kang Yali,Guo Xinglei. Model Analysis of Large Consumers' Power Purchase Portfolio Based on Spectral Measuers of Risk[J]. Transactions of China Electrotechnical Society, 2013, 28(1): 266-270.

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http://dgjsxb.ces-transaction.com/EN/ OR http://dgjsxb.ces-transaction.com/EN/Y2013/V28/I1/266

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