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首页> 外文期刊>Electric power systems research >Electricity Retailer Trading Portfolio Optimization Considering Risk Assessment in Chinese Electricity Market
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Electricity Retailer Trading Portfolio Optimization Considering Risk Assessment in Chinese Electricity Market

机译：考虑中国电力市场风险评估的电力零售商贸易组合优化

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摘要

The Chinese electricity market underwent a significant reform in 2015 resulting in its complete liberalization on the sell-side. Electricity retailers now seeking to adapt to the electricity market are focused on trading portfolio optimization based on risk assessment, which can be performed by classifying and combining possible electricity purchases and sales on mid-long-term and spot markets. The scenario method is used in this study to simulate random risk variables (the real-time price and user demand), then a comprehensive decision-making/risk assessment model for electricity trading portfolio optimization is established with the goal of profit maximization. The conditional value-at-risk (CVaR) serves as the risk assessment index for electricity purchases and sales. Four combinations of electricity trading modes are assessed as a case study. The most basic trading mode is significantly affected by the risk aversion factor in regards to purchases scale and expected profit, which validates the proposed model. The time-of-use (TOU) price and real-time price guaranteeing the bottom and top price as a transaction mode are found to affect the scale of electricity purchases and the expected profit of the electricity retailer. Proportional distribution plans for three respective retail transactions are determined according to electricity retailers' different attitudes toward risk.
机译：中国电力市场在2015年经历了重大改革，导致其在卖方的完全自由化。目前正在寻求适应电力市场的电力零售商专注于基于风险评估的交易组合优化，可以通过分类和结合可能的电力购买和在中长期和现场市场上的销售来进行。本研究中使用了场景方法来模拟随机风险变量（实时价格和用户需求），然后建立了电力交易组合优化的全面决策/风险评估模型，其目标是利润最大化。条件值 - 风险（CVAR）作为电力购买和销售的风险评估指标。评估了四种电力交易模式的组合作为案例研究。最基本的交易模式受到购买规模和预期利润的风险厌恶因素的显着影响，验证了所提出的模型。使用时间（TOU）价格和实时价格保证作为交易模式的底部和顶级价格影响电力购买规模和电力零售商的预期利润。三项相应零售交易的比例分配计划根据电力零售商对风险的不同态度确定。

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