Research On Electricity Procurement Strategy For Large Consumers Based On Modern Portfolio Theory

The research on large consumer electricity purchasing strategy is vital and of important economic significance based on the situation that the large consumers have opportunities to purchase electricity directly from different ways.The electricity purchasing decision of large consumers will be divided into long-term and short-term electricity purchasing decision in this paper. The quantity of electricity purchased in long-term contracts and interrupted electricity contracts are determined by long-term electricity purchasing decision. And the others are determined by short-term electricity purchasing decision. Considering purchasing electricity through long-term contracts and from spot markets, as well as taking self-served power plants and interruptible service into account, the efficient frontier is inferred by a Markowitz model based large consumer electricity purchase portfolio model, and a deviation degree based large consumer electricity purchasing decision model is proposed to determine the electricity purchasing-amount in varies markets. And an E-CVaR model is also proposed to improve the inadequacies of Markowitz model. The relevant theoretical analysis and numerical tests are given.