【摘 要】
：
在随机变量分布为部分信息的情况下,提出了最坏情况下的条件风险(Worst-case condi-tional value-at-risk,WCVaR)指标,并建立了风险-利润的三个鲁棒组合优化模型.该模型具有
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在随机变量分布为部分信息的情况下,提出了最坏情况下的条件风险(Worst-case condi-tional value-at-risk,WCVaR)指标,并建立了风险-利润的三个鲁棒组合优化模型.该模型具有复杂的min-max多层优化结构.在随机交量服从离散界约束分布和损失函数为线性的条件下,运用对偶理论转化复杂的min-max优化模型为简单的线性规划问题,理论上证明了简化后的模型与原模型的同解性.该研究是条件风险(CVaR)分析方法的发展,可有效运用于随机变量分布为非完全信息下的市场风险-利润问题;是条件风险(CVaR)分析方法的发展;转化后的线性规划能高效地应用于实际问题的计算.应用该WCVaR模型和计算方法于电力系统的发电资产优化组合问题,数值仿真显示所提出的模型能真实地模拟发电商的商业行为,为发电商的投资组合和风险管理提供了新的方法.
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