不同电力市场阶段风险规避模型

(),,(,310027):,,,,,,+,,:;;;:TM73;F12319:2000209227;:20012012150,,,;(),,,,[17],1[8]111,(),(),()112,,,,,,,,,,,,,,,,,,,,;,,412572001410Vol.25No.7Apr.10,2001,,,,2,,E{P},Var{P},,,,,,,,[9],,(certaintyequivalentreturn)[10],,,:U=E{P}-12AVar{P}(1)U;A(1),,,A0,,A,,:maxE{P}-12AVar{P}(2)(2)A,,,,A0,(2):maxE{P}(3),,(P),,,A,:minVar{P}s.t.E{P}P(4),,:minVar{P}(5),[8],3311,:a1,,,,b1(PX),,,,;,,c1,,51(),d1,,,,312,,N,,kk,k+1pk+1NkpkN,kuk,:vk=(pk+1N-pkN)ukukk;pkNk,,,k,N;N:vtot=N-1k=0(pk+1N-pkN)ukN,:vN=f(QG)-pNQGf(õ);QG,:P=Nk=0vk=f(QG)+N-1k=0(pk+1N-pkN)uk-pNQG(6)ENk=0vk,VarNk=0vk(7)(8),:maxENk=0vk(7):minVarNk=0vk(8),,:U=ENk=0Pk(9)Nk=0Pk=p0Nu0+N-1k=1pkN(uk-uk-1)+pN(QG-uN-1)-CG(QG)(10)CG(õ),,[5,7,8]313,(6):Nk=0vk=f(QG)-p0Nu0+N-1k=1pkN(uk-uk-1)+pN(QG-uN-1)(11):Nk=0vk=f(QG)-p0Nu0+N-1k=1pkN(uk-xk)+pN(QG-xN)(12)vN=f(QG)-pN(QG-xk)vk=pkN(uk-xk)k=0,1,,N-1;xk=uk-1,k,k,xk,,(11),:a1,,(QG=u0==uN-1),p0Nu0=p0NQG,b1k+1k(pk+1NmpkN),k+161,uk(pk+1N-pkN),c1,t,,,,,,,,,4411,,,,(pool):a1,,b1,,,,,,,c1,,,d1,,;412,,:PT(C)=Nk=0Pk(13)Pk=QkC(pC-pk)+pkQkG-CG(QkG)(14)Pkk;QkCkpC;pC0N,,;QkGk,,QkG0;pkk,,;CG(QkG),,:minVar{PT(C)}(15):a1QminGQkGQmaxGb1tuptdn;c1-$QGQkG-Qk-1G$QG(13),,,(MonteCarlo),,413(14),QkC(pC-pk),pkpC,QkC(pC-pk);pkpC,QkC(pk-pC),,:a1QkGQkC,QkCpC,pkb1QkGQkC,QkG,pk71()(QkG=0),,kpkQkC,:vG=QkGpk+QkC(pC-pk)(16),,,pk,,k:Cpoo=Mi=1(QkGipk)+Mi=1[QkCi(pCi-pk)](17)M,414(14),,,,,:minVar{Pk}(18),(pricetaker),:pMC(k)=CGi(QGi)(19),,[10],:pMC(k)1+sE=CG(QkG)(20)pMC(k)=pminMCpkpminMCpkpminMCpkpmaxMCpmaxMCpkpmaxMC(21)s,;E;pMC(k)k,CG(QG)=aQ2G+bQG+ca,b;c,,(19):QkG=pMC(k)-b2a(22)k,Pk=-14ap2MC(k)+12apkpMC(k)-QkC+b2apk+QkCpC+b24a-c(23):E{Pk}=-14a(p2MC(k)+R2MC(k))+12aE{pkpMC(k)}-QkC+b2apk+QkCpC+b24a-c(24)Var{Pk}=116a2Var{p2MC(k)}+14a2Var{pkpMC(k)}+QkC+b2a2Var{pk}-14a2Cov{p2MC(k),pkpMC(k)}+12aQkC+b2aCov{p2MC(k),pk}-1aQkC+b2aCov{pkpMC(k),pk}(25)pMC(k)pMC(k);R2MC(k)pMC(k);Cov{õ,õ}:5Var{Pk}5QkC=0(26)QkC:QkC=-b2a-14aCov{p2MC(k),pk}+12aCov{pkpMC(k),pk}Var{pk}(27)QkCa,b,c,,5+511,,4,,PPIöTG(PacificPower81InternationalöTransGrids)+,,,:a1,,,,,b1,c1,,,512[11]:a1(),b148,,48c1:vG=QGpk+QC(pC-pk)(28)pkpC,QC(pC-pk)pkpC,QC(pk-pC),,,,,,,,,,,6,,,,:a1,,,b1,,,c1,+,,,d1,,,1BjorganR,LiuCC,LawarreJ.FinancialRiskManagementinaCompetitiveElectricityMarket.IEEETransonPowerSystems,1999,14(4):128512912KayeRJ,OuthredHR,BannisterCH.ForwardContractsfortheOperationofanElectricityIndustryUnderSpotPricing.IEEETransonPowerSystems,1996,11(1):46523GedraTW,VaraiyaPP.MarketsandPricingforInterruptibleElectricPower.IEEETransonPowerSystems,1993,8(1):1221284,,,(ZhangShaohua,LiYuzeng,ZhouYongxing,etal).(StrategicBiddingofPowerGeneratorsinElectricityMarketwithContractsforDifferences).(AutomationofElectricPowerSystems),2000,24(8):15185YoonYT.APracticalMean2VarianceHedgingStrategyintheElectricityMarkets.EnergyLaboratoryPublication,MITEL002002WP,20006SiddiqiSN.ProjectValuationandPowerPortfolioManagementinaCompetitiveMarket.IEEETranson91()PowerSystems,2000,15(1):1161217(ZhaoXueshun).:(InvestigationofBiddingStrategiesinElectricityMarket,MasterThesis).:(Hangzhou:ZhejiangUniversity),20008(GaoErkang).(IntroductionofForwardTheory).:(Beijing:HigherEducationPress),19969(VarianHR).(MicroeconomicAnalysis).3(3rded).:(Beijing:EconomicSciencePress),199710FarrellJL,ReinhartWJ.PortfolioManagement:TheoryandApplication.2nded.NewYork:McGraw2HillIncorporation,199711(YinZuoyou).(InvestigationofBiddingSettlementinGeneratorsElectricityMarket).:(EditedbyZhejiangProvinceElectricityPowerCompany).(CorpusofPowerMarketStudy).1999,,,,,,,,,,,STUDYONRISKEVASIONINELECTRICITYMARKETPartOneRiskEvasionModelsCorrespondingtotheDifferentStagesofPowerMarketZhaoXueshunYHuangMinxiangYHanZhenxiang;ZhejiangUniversityKHangzhou310027KChinaGAbstractPInaccordancewiththecharacteristicsofdifferentstagesofpowermarketKthispaperproposesthedifferentriskevasionmodelsbasedonthebasicprinciplesoffutureandforwardcontract.Thesefunctionalembodimentsinelectrictransactionsareanalyzedandanalyticalresultsdemonstratethatthemodeloffuturecontractforbilateral2transactionisrelativelymaturemodelforpowermarketKandfurtheritisefficientforbothcontractorstotakeprecautionsagainstandavoidtherisks.OntheotherhandKthemodelofforwardcontractforunilateral2transactionissuitableforincompletebilateralopenpowermarketsKwhichhelpsthegenerationproducersandpowerpooltoevadetherisksofspottransactionstoacertaindegree.ThetransitionmodelmentionedbeingintheprimalstageofpowermarketKtheauthorizedcontractfordifferencesandsinglepurchasermodelissimpleandeasyforimplementationKalthoughitsabilitytoevaderiskisnotoptimalandthuslimited.KeywordsPpowermarketMfuturecontractMforwardcontractMcontractfordifferences(9continuedfrompage9)AROBUSTHTORSIONALFILTERFORTHETURBINEGENERATORWangXitianYYuDarenYBaoWen;HarbinInstituteofTechnologyKHarbin150001KChinaGAbstractPThebandwidthfrequencyofthecontrolsystemandthelowesttorsionalmodefrequencyoftheshaftsofthemodernturbinegeneratorhavethetrendtogetclosetoeachother.Thetorsionalstabilitycriterionimposesrestrictiononenhancingtheperformanceoftheturbinegeneratorcontrolsystem.InthispaperKtheunmodelledtor