Optimal Portfolio Selection of Wind Power Plants Using a Stochastic Risk-Averse Optimization Model, Considering the Wind Complementarity of the Sites and a Budget Constraint

Authors: Luiz A. S. Camargo, Laís D. Leonel, Pedro S. Rosa, Dorel S. Ramos

This work focuses on the best financial resources allocation to define a wind power plant portfolio, considering a set of feasible sites. To accomplish the problem formulation and solution, the first step was to establish a long-term wind series reconstruction methodology for generating scenarios of wind energy, applying it to study five different locations of the Brazilian territory. Secondly, a risk-averse stochastic optimization model was implemented and used to define the optimal wind power plant selection that maximizes the portfolio financial results, considering an investment budget constraint. In a sequence, a case study was developed to illustrate a practical situation of applying the methodology to the portfolio selection problem, considering five wind power plants options. The case study was supported by the proposed optimization model, using the scenarios of generation created by the reconstruction methodology. The obtained results show the model performance in terms of defining the best financial resources allocation considering the effect of the complementarity between sites, making it feasible to select the optimal set of wind power plants, characterizing a wind plant optimal portfolio that takes into account the budget constraint. The adopted methodology makes it possible to realize that the diversification of the portfolio depends on the investor risk aversion. Although applied to the Brazilian case, this model can be customized to solve a similar problem worldwide.


Journal: Energy and Power Engineering
DOI: 10.4236/epe.2020.128028(PDF)
Paper Id: 102111 (metadata)

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