Study on the optimal combination bidding strategy of power suppliers based on CVaR
It is significant for power suppliers to study how to allocate the exchange volume in the multi-market under the condition of balancing the profit and risk. In this paper,based on the bilateral contract market and day-ahead market (including day-ahead energy market and spinning reserve market),we consider the Conditional Value at Risk (CVaR) as the risk measure index and the object function,and take the expected profit as the restriction conditions,and then conclude the optimal bidding strategy of power suppliers in multi-period combination market at a certain confident level. This method of using the CVaR as the objective function overcomes the shortcomings of VaR,which cant meet the Consistency Risk Measurement when the payoff satisfies the abnormal distribution,furthermore,this method can distinguish the factors which should not be taken as the risk when the return is higher than the mean value. Finally,the validity of this optimal bidding strategy is presented by an example
electricity market combination bidding conditional value at risk optimal strategy
ZHANG XING-PING CHEN LING
School of Business Administration,North China Electric Power University,Beijing,102206,China
国际会议
The First International Conference on Management Innovation(ICMI 2007)(管理创新会议)
上海
英文
1089-1093
2007-06-04（万方平台首次上网日期，不代表论文的发表时间）