Risk Management for Wind Power Trading Based on Expected Utility-Entropy

doi:10.11930/j.issn.1004-9649.201804147

Abstract

Abstract: In a gradually deregulated electricity market, a power producer can minimum risk by reasonably allocating trading electricity in different markets such as the contract market and spot market. In this context, the paper addresses the electricity allocation issue of wind power producers in the power market under the premium mechanism. Considering the uncertainties of the spot electricity prices, the volatility of the wind power output and the risk preference of the wind power producers, an expected utility-entropy-based electricity allocation decision-making model is proposed, based on which, the electricity allocation of the wind power producers is calculated respectively in such three markets as annual contract market, monthly contract market and spot market. The results show that the model can not only reflect the decision-making characteristics of the wind power producers when their preference of the market risk changes, but also reduce the trading risk of wind power producers while obtaining expected return level.

Key words: electricity market, risk management, expected utility-entropy, electricity allocation strategy

ZHANG Wei, QIN Yanhui, LING Jing, CHEN Ning, DU Xizhou, SUN Yiqian, GAO Bingtuan. Risk Management for Wind Power Trading Based on Expected Utility-Entropy[J]. Electric Power, 2020, 53(2): 29-35,82.

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URL: https://www.electricpower.com.cn/EN/10.11930/j.issn.1004-9649.201804147

https://www.electricpower.com.cn/EN/Y2020/V53/I2/29

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