風險與不確定性下最適電源配比之研析

The Study of Optimal Electricity Portfolio Planning under Risk and Uncertainty

能源價格的波動是影響能源安全的關鍵因素之一，臺灣長年能 源進口依存度達九成以上，能源安全的脆弱度深受國際能源價格不 確定性的影響，使我國在能源投資上面對相當大的風險。本研究採 用財務學上之資產組合理論中的平均數──變異數分析方法搭配風險 效用理論，探討台灣電力公司其發電最適能源配比組合，並評估在 此最適情況下能源配比的預期報酬、風險與溫室氣體排放情況。結 果顯示若不考慮再生能源，增加核電的配比可提高發電系統的預期 報酬，但隨著核電配比的提高，成本風險也將上升；若考慮加入再 生能源時，提高再生能源的使用配比可以在維持既定的發電報酬下 降低能源風險，且隨著再生能源發電效率的提高與成本的降低，而 提升整體能源配比的發電效益，並可大幅降低溫室氣體排放。本文 的貢獻在於對電力最適配比的風險管理與彰顯再生能源的資產組合 效益，但所探討分析的能源風險僅代表經濟市場面向的價格波動下 能源市場財務風險，與一般傳統所認知的能源安全風險所涉及的多 面向多準則分析有所不同，這是本研究的限制。

Fossil fuel price volatility is one of the key factors impacting energy security. Taiwan relies upon imported energy for more than 90% of its total energy usage, making it highly vulnerable and deeply influenced by the uncertainty of international fuel markets. Therefore, Taiwan's energy investment decision is confronted with risk from fossil fuel prices. To understand how to set up electricity portfolio planning under risk and uncertainty, this study adopts a Mean-Variance Analysis of portfolio theory and employs the expected utility theorem to explore the optimal electricity portfolio for Taipower Company, the resultant expected return and risk of the generation system, and the condition of CO2 emissions. The results indicate that, under the case without renewables, using more nuclear energy in the portfolio can increase the expected return, but at a cost of slightly higher risk. In the case with renewables added, the results demonstrate that using more renewable energies has the advantage of hedging against the fuel price risk while maintaining the same expected return level. Therefore, if generation efficiency and cost of renewables can be improved by technological progress, then the return of the electricity portfolio can be increased and CO2 emissions can be mitigated significantly. Our study contributes to the risk management of electricity portfolio planning and to the advantages of employing renewables in the energy generation mix. However, the risk matter in the study is limited to the fossil fuel price risk in financial markets. This is not total energy risk as related to the conventional concept of energy security, but it should be taken into consideration by a multi-dimensional analysis in a future study.