考虑金融/物理合约的储能装置投资组合策略研究Research on Portfolio Strategy of Energy Storage Devices With Financial/Physical Contracts
韩冬;何宇婷;孙伟卿;
摘要(Abstract):
随着电力现货市场的深入发展,含日前市场、权利市场等多阶段市场形式下的储能装置投资组合研究,需要重点关注输电阻塞和电力拥堵的问题。为实现储能利润的最大化,规避输电阻塞和发/用电不平衡引起的节点价格波动风险,文章提出了考虑金融/物理合约的储能装置投资组合策略。首先介绍了金融/物理输电权、金融/物理储能权的概念。然后利用条件风险价值(conditional value at risk,CVaR)作为风险度量,分别建立金融合约和物理合约的储能投资组合模型。最后通过国内某省电力现货市场测试数据进行验证,并将基于金融/物理合约的投资组合风险规避情况和无权利市场的投资组合进行对比。仿真结果表明,所提出的投资组合模型能有效规避市场价格波动风险。
关键词(KeyWords): 投资组合;节点价格波动;输电权;储能权;风险规避
基金项目(Foundation): 国家自然科学基金项目(51777126)~~
作者(Author): 韩冬;何宇婷;孙伟卿;
Email:
DOI: 10.13335/j.1000-3673.pst.2019.2359
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