NDLI: Risk Constrained Portfolio Selection of Renewable Sources in Hydrothermal Electricity Markets

Content Provider	IEEE Xplore Digital Library
Author	Street, A. Barroso, L.A. Flach, B. Pereira, M.V. Granville, S.
Copyright Year	1969
Abstract	Renewable sources have recently emerged as a generation option for many countries in order to promote clean energy development. In the case of Brazil, small hydro plants and cogeneration from sugarcane waste (bagasse) have been attractive alternatives during the past years, with hundreds of MW installed since 2004. Despite their advantages, both alternatives are hindered by seasonal yet complementary availability. This forces producers to discount (or price) the risks faced when selling firm energy contracts and may ultimately lead to projects being commercially unattractive. We propose a stochastic optimization model that defines the optimal composition of a portfolio based on these two renewable sources in order to maximize the revenue of an energy trading company. At the same time, this model mitigates hydrological and fuel unavailability risks, thus allowing the participation of both sources in the forward market environment in a competitive manner. A case study is presented, based on data from the Brazilian system.
Sponsorship	IEEE Power Engineering Society
Starting Page	1136
Ending Page	1144
Page Count	9
File Size	743989
File Format	PDF
ISSN	08858950
Volume Number	24
Issue Number	3
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2009-08-01
Publisher Place	U.S.A.
Access Restriction	One Nation One Subscription (ONOS)
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Portfolios Electricity supply industry Wind energy generation Wind energy Power generation Stochastic processes Brazil Council Production Cogeneration Contracts stochastic programming Energy trading portfolio selection renewable generation risk management
Content Type	Text
Resource Type	Article
Subject	Energy Engineering and Power Technology Electrical and Electronic Engineering

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1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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