電力資產(chǎn)分配的WCVaR最優(yōu)組合模型研究.pdf

1、長沙理工大學碩士學位論文電力資產(chǎn)分配的WCVaR最優(yōu)組合模型研究姓名：胡軍申請學位級別：碩士專業(yè)：電力系統(tǒng)及其自動化指導教師：周任軍20090401ABSTRACTEJectncpowerindustryrefombreaksthetraditionalpowergenerationtransmlsslonanddistributionoftheVerticalintegrationstructureThefocusofthereto加

2、1stoIntroducecompetitioIlmechanismofacompetitivepowermarket，whichma1(espowergenerationfacingunprecedentedrisksPowermarketiscomposedofmul‘1pleub。marke‘s，suchasdayaheadmarket，spotmarket，longte咖contractmarket，asslstantmarke

3、t，etcthedifferentsubmarketshavedifferentpricefluctuatlonandstochasticch徹gingcharacteristicsofrevenuerateHowtoalIoCatethegenerationcapabilityond蕊rentkindoftransacti0IlsforbetterretumpromoteStneresearcherstoiIltroducefinan

4、ceriskhedgingtoolsonphysicalgenerationassetassessmentHence，one0ftheconcemedproblemsishowtoallocatethegenerationcapabllityond滁rentsub‘marketsforthemaximalprofitunderthesuitableriskassessment，thisisGenerationAssetAllocatio

5、n(GAA)problem量，on燦ostheoryisoneoftheimportantresearchcontentsinEconomicsItaims‘(：atlaIntheponfo“0s0fthemaximum0ftheinvestment’sretumwiththegiVenvalueotthenskofportfoliosoroftheminimumofinVestment’srislcwiththegivenIevelo

6、ftnelnVestmentfsretumInordertoaV0idtheinadequateoftheconditionalV竺at凼k(cVaR)usedforGAA，threerobustportf；Dliom。delsbasedontheconceptotTtheworst。caseconditionalvalue‘a(chǎn)tRisk(wcVaR)arepresentedinthispapcrunderthemlxturedistr

7、ibutionofrandomVariabIes，theproposedmodelsare如rther舳mulatedequivalentIytosomesimplefonns，andthreecorrespondingrobustportfoliooptimizationsforGAAaresetupNumericalcasesaresimulatedt。testtheefjficientfr。ntier。fm。delsandthe，

8、eneratlonasSeta110ca“0nratioforthep。wersuppliersbetweenspotmarketandngtemcontractmarketTheresultsshowthatthetheoreticalanalySisisco撇tandthenewmodelsareva“dKeyw。rds：P。rtfoli。optimizati。n；c。nditi。naIValueatRisl【(cvar)；wors