电力市场环境下的发电商策略与风险

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1、浙江大学电气工程学院博士学位论文电力市场环境下的发电商策略与风险姓名：冯冬涵申请学位级别：博士专业：电力系统及其自动化指导教师：甘德强20080422浙江大学博士学位论文ABSTRACTSinceChilebecamethefirstcountryderegulatingitselectricpowerindustryin1983，theworldwideelectricitymarketreformhastakenplaceforalmosttwenty—fiveyears．Mostpowerindustriesintheworldsta

2、rtedtheirreformsfromthederegulationofthesupplyside．Therefore，generationcompaniesusuallybecamethefirstgroupofentitieswhomanagetheiroperation，accountinganddecision-makingindependently．Initiallygenerationcompanies’objectiveisonlytomaximizetheirprofit，however’thecrisisofCalifo

3、rniaelectricitymarketin2000and2001arousegreatattentiontotheproblemofriskmanagementforelectricpowercorporations．Afterintroducingtheriskmanagement，thedecision-makingofgenerationcompaniesshiftsfromasingle—objectiveoptimizationtoabi-objectiveoptimization．Thefirstobjectiveismax

4、imizingexpectedprofitwhilethesecondobjectiveisminimizingtheassociatedrisks．Thesolutionofabi—objectiveoptimizationisacurve，namelytheParetoFrontieronatwo-dimensionalcoordinatesifregardingthetwoobjectivesasthetwoaxes．Thelocationofthesolutiononthefrontierthereforedependsonthet

5、rade-offbetweenthetwoobjectives，thereturnandtherisk，inotherwords，dependsonriskaversiondegreeofgeneratingcompanies．Thesecondchapterconstructsamodelforthisproblembyintroducingthemethodsinfinancialtheory．Themodelinthesecondchapterhasafoundbasisandfastcomputationspeed，butitals

6、ohasseverallimitations．Thefististhedifficultyindecidingtheriskaversiondegree．Thesecondlimitationistheneglectingofseveralimportanttechnicalandinstitutionalconstraintsinpowerindustry,whichcouldmakethemodelsolutionunachievableinpractice．Inresponsetotheselimitations，anefficien

7、tfrontiermodelwiththepracticalconstraintsintegratedhasbeenproposedinchapterthree．Thedecision-makingprocessofgeneratingcompaniescanbedividedinthreestages，thestrategicinvestmentdecision，themulti-tradingdecisionandthestrategicbiddingdecision．Inthisaspect，Chapter2andChapter3fo

8、cusonthemulti—tradingdecision,whileChapter4andChapter5conductthestrategicbiddingdecisiona