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中文摘要：
电力市场实际上网电价并不一定满足正态分布，因此，有必要对供电公司在多交易市场、多阶段条件下的购电策略进行研究。文中首先采用极大似然估计法对美国PJM电力市场实际上网电价数据的分形分布特征参数进行了估计，并运用柯尔莫哥洛夫拟合检验（K—S）法对其拟合效果进行检验；市场用电量利用均值回复的AR（1）模型进行描述，美国PJM电力市场的实际用电量数据验证了该模型的有效性。根据上网电价服从分形分布的特性推导出了评估供电公司动态购电组合风险的计算公式。在此基础上构建了基于投资组合理论的供电公司动态购电组合模型，并利用等价原理将该模型转化为线性规划模型进行求解。算例表明所构建的供电公司动态购电组合模型能真实地反映供电公司所面临的风险情况。
英文摘要：
The actual generation price does not always satisfy the normal distribution, so it is necessary to carry on further studies on the power purchasing strategies for power supply companies at multi-markets and multi-stages. At first, the characteristic parameters of the fractal distribution of actual generation price in American PJM power market are estimated, and its fitting performance is checked by Kolmogorov-Smirnove （K-S） method. Then the load is estimated by average reverse model （AR（1））, and the efficiency of this model is verified by the actual load of PJM power market. Finally, given that generation price satisfies fractal distribution, formulae for evaluating power purchasing risks for power supply companies are derived. Based on the above, the power purchasing model for power supply company is constructed based on investment portfolio theory, and the model is transformed to the linear programming model by equivalence theory. Case study shows that the constructed model can truly reflect the risk exposed to the power supply company. This work is supported by National Natural Science Foundation of China （No. 70571023, 50579101）.
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