The electricity portfolio decision-making model based on the CVaR under risk conditions

Abstract

With the gradual opening up of China's power sector, electricity investment is growing. Risk analysis should be applied to the investment optimization decisions. This study describes a CVaR-based investment optimization model, which established electricity portfolio decision-making model to optimize the ratio of investment decision-making and achieve the maximum yield of the total investment target between the various modes of generation. An example was given to verify the validity of the model based on the actual data. Based on simulation results of the example, the ratio of investment in a certain confidence level has been well optimized. The model can play purposes for overall investment risk reduction. © Maxwell Scientific Organization, 2014.