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用绝对离差度量供电公司的购电风险,建立以风险最小化为目标的多市场购电组合优化模型。绝对离差模型用投资收益率的一阶绝对中心矩来代替二阶中心矩,发散的可能性进一步降低,且不严格要求收益率服从正态分布以及协方差是否存在,这符合市场实际情况,容易转化为线性规划求解。以在四个市场中购电为例对模型求解,结果表明所提模型能反映供电公司面临的市场风险的本质特征,为供电公司的购电决策及其风险评估提供新的思路。
With absolute dispersion measure the purchase risk of power supply company, establish multi-market power purchase and portfolio optimization model with risk minimization as the goal. The absolute dispersion model replaces the second-order central moment with the first-order absolute moment of return on investment and further reduces the possibility of divergence. It does not strictly require that the yield be subject to the normal distribution and the covariance exists, which is consistent with the actual market conditions. Easy to translate into linear programming. Taking the electricity purchase in the four markets as an example, the model is solved. The results show that the proposed model can reflect the essential characteristics of market risk faced by power supply companies, and provide new ideas for power supply company’s power purchase decision and its risk assessment.