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电网技术  2006 

基于条件风险价值的购电组合优化及风险管理

, PP. 72-76

Keywords: 电力市场,购电策略,条件风险价值(CVaR),组合优化,风险管理,有效前沿

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Abstract:

以条件风险价值为市场风险计量指标对供电公司收益-风险进行量化,建立了以收益最大化为目标的多市场购电组合优化模型。以在3个电力市场中购电为例,将上述模型转化为线性规划问题进行求解。计算结果表明,所提出的模型为供电公司的购电决策与风险评估提供了新方法,可使供电公司在满足一定风险约束的前提下具有最大购电收益。

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