Portfólio de Fontes Alternativas de Geração: Alocação Ótima de Recursos e Análise de Risco com suporte de Algoritmos Genéticos (Alternative Generation Sources Portfolio: Optimal Resources Allocation and Risk Analysis Supported by Genetics Algorithms)

Luiz Armando Steinle Camargo (luiz.steinle@usp.br)1, Dorel Soares Ramos (dorelram@usp.br)1, Ewerton Guarnier (eguarnier@usp.br)1, Sérgio Ishida (sergio.ishida@cesp.com.br)2, Eduardo Matsudo (eduardo.matsudo@cesp.com.br)2

1Universidade de São Paulo
2Companhia Energética do Estado de São Paulo (CESP)

This paper appears in: Revista IEEE América Latina

Publication Date: July 2016
Volume: 14,   Issue: 7 
ISSN: 1548-0992

The natural resources characteristics and current economic factors encourage investments in alternative sources of electric power generation in Brazil. Different technologies can compose a portfolio of generating plants with energetic synergism as a function of the seasonal diversity of their potential production. In such portfolios, it is sought to obtain financial gains by virtue of complementarity generation among candidates sources, under investor's pre-established risk control criteria. From this perspective, our study aims to present an optimization model - supported by genetic algorithms - to define the optimal financial resources allocation for composing renewable sources portfolio (wind, small hydro and biomass cogeneration), given a specified budget and risk-aversion criteria measured by means of the Conditional Value-at-Risk. Case studies involving the cited sources illustrate the application of the model and its potential for supporting analysis and decision making.

Index Terms:
Investment Analysis, Portfolio Composition, Alternatives Sources, Market Risks.   

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