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在开放的电力市场环境下,电力金融市场具有随机性特征,风险控制和资产管理策略是影响电力市场资产配置效果的两大关键因素。根据投资组合的风险分散化原理,文中建立了基于条件风险价值的动态多阶段电力资产配置模型,分析了不同资产调整策略对电力资产配置效果的影响。应用该模型模拟了某电力市场参与者采用不同资产调整策略时投资组合的有效前沿和组合收益率分布情况。实证研究表明,通过电力实物资产、电力衍生产品和相关能源衍生产品的投资组合,并采取合理的动态多阶段资产调整策略,可以有效规避电力市场风险。
In an open market environment, the financial market has the characteristics of randomness. Risk control and asset management strategies are two key factors that affect the asset allocation in the electricity market. According to the portfolio risk diversification principle, a dynamic multi-stage power asset allocation model based on conditional VaR is established and the effect of different asset adjustment strategies on the allocation of power assets is analyzed. This model is used to simulate the effective frontier and portfolio return distribution of a portfolio in a power market using different asset adjustment strategies. The empirical research shows that through the investment portfolio of real electricity assets, electricity derivatives and related energy derivatives, and taking reasonable dynamic multi-stage asset adjustment strategy, the electricity market risk can be effectively avoided.