A Study On Purchasing Portfolio Decision And Risk Management For Grid Corporations In Power Market

With the development of reformation, the vertical monopolization system innational power market is broken. Since the grid corporations becomes the purchaser,they are not only faced with the expected profits, but also enormous financial risks,it is necessary for them intensify venture management. This paper mainly studies therational distribution with electricity which purchased in different trading market,because different trading market has different price fluctuation.In this thesis, the power market and risk management are introduced, and thestatus of domestic and foreign research was analyzed at first. Then three tools whichis electricity derivatives, bidding strategy and portfolio trading decisions offinancial risk management in the power market are discussed, and the combinationof trade policy-making and six risk measurement methods are mainly eleborated.According to the principle of investment combination, the semi-variance model andConditional Value-at-Risk model were presented. On the basis of hypothesis offractal markets，the hypothesis that electricity price obey fractal distribution ispresented, the K-S and maximal likelihood method are used to estimate and checkthe parameters in distribution function, in addition, the Value-at-Risk and theConditional Value-at-Risk calculating Formula are derivated. In this paper, the meanAR(1) model could be used to describe electricity quantity, the power pruchasingmodel in different trading market and different stages based on investmentcombination theory is build, according to equivalence principle, with the hypothesisthat the grid corporations were risk-averse, the dual-objective dynamic programmingmodel is transformed to a linear programming model，a specific example shows thatthe models truly reflect the risks that faced with the situation of Grid Corporations.In summary, the presented model in this paper can truly reflect the market riskcharateristics in grid corporations, and can balance the profit between maximum andminimun, which provide a new method for risk management in grid corporation.