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| 分形VaR风险度量下的购电组合模型及实证分析 | |
| 引用本文： | 王绵斌,谭忠富,张蓉.分形VaR风险度量下的购电组合模型及实证分析[J].电力系统及其自动化学报,2009,21(6). |
| 作者姓名： | 王绵斌 谭忠富 张蓉 |
| 作者单位： | 1. 华北电网省限公司电网建设分公司,北京,100140;华北电力大学工商管理学院,北京,102206 2. 华北电力大学工商管理学院,北京,102206 3. 北京市工程咨询有限公司,北京,100031 |
| 基金项目： | 国家自然科学基金资助项目， |
| 摘 要： | 针对市场环境下供电公司的购电策略进行研究.介绍了分形理论,并给出其特征函数的表达式;根据风险价值的定义和性质,推导出分形分布下VaR风险度量的计算公式;在传统投资组合模型的基础上,构建供电公司的购电组合优化模型,通过求解可得出供电公司的最优购电策略;以美国加州电力市场上网电价的实际数据为基础,运用Stable程序对其分形特征函数的参数进行估算,并采用K-S法对其拟合程度进行检验,结果表明上网电价服从分形分布.算例表明,本文构建的模型是可行的,可为供电公司购电策略提供一定的参考. |
| 关 键 词： | 分形分布 特征函数 风险价值 风险度量 购电组合 |
Purchase Power Portfolio Model and an Empirical Analysis Based on Risk Measure with Fractal Value-at-risk |
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| WANG Mian-bin,TAN Zhong-fu,ZHANG Rong.Purchase Power Portfolio Model and an Empirical Analysis Based on Risk Measure with Fractal Value-at-risk[J].Proceedings of the CSU-EPSA,2009,21(6). | |
| Authors: | WANG Mian-bin TAN Zhong-fu ZHANG Rong |
| Affiliation: | WANG Mian-bin1,2,TAN Zhong-fu2,ZHANG Rong3(1.North China Grid Construction Company,Beijing 100140,China,2.Institute of Business Management,North China Electric Power University,Beijing 102206,3.Beijing Municipal Engineering Consulting Corporation,Beijing 100031,China) |
| Abstract: | The purchase strategy of the power supply company under market environment is studied in the paper.The fractal distribution is introduced and its characteristic function expression is presented.According to the definition and characterics of value at risk(VAR),the calculation formula of VAR based on fractal distribution is derived;and the electric purchase portfolio optimal model of the power supply company is constructed on the basis of traditional invest portfolio model,the optimal electric purchase strat... |
| Keywords: | fractal distribution eigen functions value at risk risk measure purchase power portfolio |
| 本文献已被 CNKI 万方数据 等数据库收录！ | |
