Optimal Purchasing Portfolio for Power Supplier with Options and Interruptible Load Based on Conditional Value-at-risk
Power suppliers are faced with the trade-off between benefit and risk when they purchase energy from several sub-markets under electricity market environments. With conditional value-at-risk (CVaR) as a measuring index for market risk, a purchasing model for power suppliers among the wholesale, forward, options and interruptible load (IL) markets, is proposed, in which the objective function is to maximize the portfolio expected revenues. The model can be solved by an improved genetic algorithm, and the impacts of options and IL on purchasing portfolio are analyzed. The results of numerical examples show that options and IL can effectively lower portfolio loss, and the strike price of options, the IL compensation price and the risk evaded mentalities of suppliers have substantially effect on the portfolio allocation. As a consistency risk measurement tool, CVaR can be better applied in risk management of electricity markets.
genetic algorithm options purchasing portfolio conditional value-at-risk interruptible load
Ruiqing Wang Xinfeng Xiao Weijun Dong
School of Computer and Information Engineering Anyang Normal UniversityAnyang 455002, China School of Mechanical and Electrical Engineering Kaifeng University Kaifeng 475004, China
国际会议
2009 WASE International Conference on Information Engineering(2009年国际信息工程会议)(ICIE 2009)
太原
英文
514-517
2009-07-10（万方平台首次上网日期，不代表论文的发表时间）