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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

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Document pages: 18 pages

Abstract: Thiswork focuses on the best financial resources allocation to define a wind powerplant portfolio, considering a set of feasible sites. To accomplish the problemformulation and solution, the first step was to establish a long-term windseries 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 usedto define the optimal wind power plant selection that maximizes the portfolio financial results, considering an investment budgetconstraint. In a sequence, a case study was developed to illustrate a practicalsituation 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 thescenarios of generation created by the reconstruction methodology. The obtainedresults show the model performance in terms of defining the best financialresources allocation considering the effect of the complementarity betweensites, making it feasible to select the optimal set of wind power plants,characterizing a wind plant optimal portfolio that takes into account thebudget constraint. The adopted methodology makes it possible to realize thatthe diversification of the portfolio depends on the investor risk aversion.Although applied to the Brazilian case, this model can be customized to solve asimilar problem worldwide.

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