Efficient Resource Allocation in a Renewable Generation Portfolio

This study presents an analysis of the portfolio optimization methodology applied to the Brazilian electricity sector, focusing on decision-making in energy contracts and in the construction of renewable power plants. The approach aims at an efficient allocation of resources for companies in the electricity sector, seeking risk aversion. Two case studies are conducted: one of negotiation of short-term renewable energy contracts and the other of long-term expansion of the portfolio of renewable energy plants. The results demonstrate that the model is able to make decisions that minimize significant losses in worst-case scenarios, considering the uncertainty inherent in renewable energy generation and market conditions. The comparison with a risk-neutral model highlights the benefits associated with risk aversion, such as less volatile revenues, and the validation of the decision in 'Out-of-Sample' scenarios confirms the robustness of the methodology, highlighting its applicability.