Risk Constrained Investment Portfolio Model for Distribution Network Projects With Efficiency Optimization

被引：0

作者：

Wang Z. ^{[1
]}

Liu Y. ^{[1
]}

Shen X. ^{[1
]}

Yu T. ^{[2
]}

Li J. ^{[2
]}

Peng D. ^{[3
]}

Zhao L. ^{[3
]}

Liu J. ^{[1
]}

机构：

[1] College of Electrical Engineering, Sichuan University, Chengdu

[2] Department of Development and Planning, State Grid Corporation of China, Xicheng District, Beijing

[3] State Grid Economic and Technological Research Institute Co., Ltd., Changping District, Beijing

来源：

Dianwang Jishu/Power System Technology | 2021年 / 45卷 / 01期

关键词：

Conditional value at risk; Distribution network; Fuzzy satisfaction; Optimal investment; Portfolio theory; Project portfolio;

D O I：

10.13335/j.1000-3673.pst.2020.0008

中图分类号：

学科分类号：

摘要：

As distribution networks nowadays are facing the increasing uncertainties and the intensifying investment competition, the cost-effective issues need to be carefully considered, including financial risk, investment efficiency, and project portfolio optimization. Hence, this paper proposes a two-tiered index system by integrating the development diagnosis indexes of distribution networks, which is applied in the evaluation of the investment benefit of the distribution network projects and the assessment of the investment efficiency of an individual project. Moreover, in order to count the distribution characteristics of the project yield into investment risk caused by project uncertainties, the conditional value at risk (CVaR) is chosen to redefine the minimum objective function based on the confidence of risk preference. A multi-objective optimization model for distribution network portfolio investment is established to co-optimize the trade-off between efficiency and risk, with the total investment, load balance and coupling relationships among projects as the constraints. The model is solved by fuzzy satisfaction to get precise investment strategies. The proposed model is validated using 20 projects in a package of investment plan of a power grid company as case study. In addition, the influence of investment risk preference and target emphasis are further investigated on distribution network optimal investment. The case studies show that the proposed model is able to quantify investment risk which can be mitigated by performing portfolio decision. The method also enables the optimal projects sorting for distribution network development with the balanced trade-off between investment risk and efficacy under the constraint of investment benefit. © 2021, Power System Technology Press. All right reserved.

引用

页码：216 / 226

页数：10

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