Risk Constrained Portfolio Selection of Renewable Sources in

Renewable energy has recently emerged as a generation option for many countries in order to provide a clean energy development. In the case of Brazil, small hydros and the cogeneration of sugarcane waste (bagasse) have been the most attractive options during the past years, with hundreds of MW constructed since 2004. In spite of their advantages, both alternatives suffer from the highly, but yet complementary, seasonal availability of their resources. This forces producers to discount (or price) the risks faced when selling energy contracts and may ultimately lead to projects being commercially unattractive. We propose a stochastic optimization model, which aims at defining the optimal composition of a portfolio based on these two renewable sources that maximizes the revenue of an energy trading company. At the same time, such model would mitigate the hydrological and fuel unavailability risks, providing a safe and competitive firm energy delivery over a given time horizon. A practical case study is shown with data from the Brazilian system