A optimal portfolio decision-making flow for power producer is proposed using the modern investment theory,which takes the conditional value at risk(CVaR)as the risk measurement index and aims at both maximum avail and minimum risk value.

This paper proposes a novel conditional value at risk(CVaR) method based on the quantile,and minimizes the weighted sum of the absolute deviation of each CVaR to build a mathematical model.

Taking the conditional value at risk(CVaR) as a risk measurement index and the allocated generation-rights a riskless asset,a combined bidding model,was built with CVaR constrained condition,to maximize the expected revenue rate.

In terms of a new risk index based on conditional value at risk (CVaR) as the measuring index for market risk, a purchasing model based on portfolio theory is presented, in which the object function is to minimize the portfolio loss among day-ahead market, forward contract market and options market.

Using the risk management theory in financial research field for reference, taking the conditional value at risk (CVaR) as risk measurement index, a novel Mean-CVaR optimal combined bidding model is built by considering the r.

A Calculation of VaR and CVaR Based on ARMA-GARCH Model

Based on the risk management theory, two risk assessment techniques—value at risk(VaR) and conditional value at risk(CVaR) are used as risk measurement index for generation companies in the paper ,and two modes are established fo.

With the use of Monte Carlo simulation technology,the minimum conditional value at risk(CVaR) of the different confidence level and the composition of assets related are also analyzed.

Application of conditional value at risk measurement in bank s optimal portfolio;

With conditional value at risk(CVaR)as a measuring index for market risk,a purchasing model for distribution companies(Discos)among several sub-markets is presented,in which the object function is to maximize the expected benefit of Discos.