| 摘要: |
| 在节能减排的严峻形势下,规划多种发电技术的投资组合是电力企业确保预期投资收益并降低投资风险的重要方式。应用随机过程对多种不确定因素的变化进行刻画,整合应用实物期权与基于条件风险价值的投资组合优化方法,仿真分析了电力企业的最优投资组合策略。研究结果表明:考虑市场电价、燃料价格、碳价格和投资成本的不确定性的影响时,风电、光伏发电和化石能源发电的投资价值相差不大,同时可再生能源发电投资风险普遍小于化石能源发电投资风险。对于投资组合策略而言,存在可再生能源装机规模限制时,即使煤电的风险损失较大,要提高预期投资收益,煤电投资比例也需不断增加,而燃气发电风险损失最大,在发电组合中的比重则应逐步减少;若不存在可再生能源装机规模限制,要提高预期收益并降低投资组合整体的风险损失,风电和光伏发电在发电组合中需占据绝大部分比重。 |
| 关键词: 发电投资 实物期权 投资组合 条件风险价值 |
| DOI：10.13216/j.cnki.upcjess.2021.04.0001 |
| 分类号:F224;F407.61 |
| 基金项目:国家自然科学基金项目(71804190);山东省自然科学基金项目(ZR2018QG007);中央高校基本科研业务费专项资金资助项目(17CX04055B, 20CX05001B) |
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| Research on Investment Portfolio Strategy of Power Enterprise Considering Multiple Uncertain Factors |
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ZHANG Mingming1, TANG Yamei1, LIU Liyun1, ZHOU Dequn2
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(1.College of Economics and Management, China University of Petroleum (East China), Qingdao, Shandong 266580, China;2.College of Economics and Management, Nanjing University of Aeronautics and Astronautics, Nanjing, Jiangsu 210016, China )
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| Abstract: |
| Under the grim situation of energy conservation and emission reduction, planning the portfolio of various power generation technologies is an important way for power enterprises to ensure expected investment returns and reduce investment risks. This paper applies the stochastic process to describe the changes of various uncertain factors, and simulates and analyzes the optimal portfolio strategy of power enterprises through the integration of real option and portfolio optimization method based on conditional value-at-risk. The research result shows that the investment value of wind power, photovoltaic power generation and fossil energy power generation does not differ much when considering the impact of uncertainty of market electricity price, fuel price, carbon price and investment cost, and that the investment risk of renewable energy power generation is generally lower than that of fossil energy generation. In the portfolio strategy, when the installed capacity of renewable energy is limited, even if the risk loss of coal-fired power plants is great, the investment ratio of coal-fired power plants also needs to increase continuously in order to improve the expected investment income. However, the risk loss of gas-fired power generation is the largest, and its proportion in the power generation portfolio decreases gradually. If there is no restriction on the installed capacity of renewable energy, wind power and photovoltaic should occupy a large proportion in the power generation portfolio in order to improve the expected return and reduce the overall risk loss of the portfolio. |
| Key words: electricity generation investment real options portfolio optimization conditional value at risk |
