Open AccessOptimal portfolio strategies of purchasing electricity for electricity company based on distributional robust CVaR
Author(s) -
Xiaoguang Huang,
Xiaojian Wang,
Liangjin Chen,
Chengjin Ye
Publication year - 2020
Publication title -
iop conference series. earth and environmental science
Language(s) - English
Resource type - Journals
eISSN - 1755-1307
pISSN - 1755-1315
DOI - 10.1088/1755-1315/467/1/012200
Subject(s) - cvar , electricity market , portfolio , electricity , purchasing , portfolio optimization , expected shortfall , modern portfolio theory , economics , microeconomics , business , financial economics , operations management , engineering , electrical engineering
Considering the uncertainty of probability distribution of electricity price in multi-energy markets and taking the maximum expected profits as optimization object, this paper establishes the optimal power purchasing portfolio model based on distributional robust CVaR. An optimal portfolio problem of purchasing proportion in real-time electricity market, day-ahead electricity market, and mid-long term contract market is transformed into a semi-definite programming problem. The analysis of case study shows the efficiency of the proposed model, which paves a new way for electricity companies to determine the optimal portfolio strategies considering the risk.