Generation Asset Optimal Portfolio Allocation Based On Worst-case CVaR

Electric power industry reform breaks the traditional power generation, transmission and distribution of the vertical integration structure. The focus of the reform is to introduce competition mechanism of a competitive power market, which makes power generation facing unprecedented risks. Power market is composed of multiple sub-markets, such as day-ahead market, spot market, long-term contract market, assistant market, etc. the different sub-markets have different price fluctuation and stochastic changing characteristics of revenue rate. How to allocate the generation capability on different kind of transactions for better return promotes the researchers to introduce finance risk hedging tools on physical generation asset assessment. Hence, one of the concerned problems is how to allocate the generation capability on different sub-markets for the maximal profit under the suitable risk assessment, this is Generation Asset Allocation (GAA) problem.Portfolios theory is one of the important research contents in Economics. It aims to attain the portfolios of the maximum of the investment's return with the given value of the risk of portfolios or of the minimum of investment's risk with the given level of the investment's return. In order to avoid the inadequate of the conditional value-at-risk(CVaR) used for GAA, three robust portfolio models based on the concept of the Worst-case Conditional Value-at-Risk (WCVaR) are presented in this paper. Under the mixture distribution of random variables, the proposed models are further reformulated equivalently to some simple forms, and three corresponding robust portfolio optimizations for GAA are set up.Numerical cases are simulated to test the efficient frontier of models and the generation asset allocation ratio for the power suppliers between spot market and long-term contract market. The results show that the theoretical analysis is correct and the new models are valid.