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 ()
ABSTRACT
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.
Share and Cite:
Camargo, L. , Leonel, L. , Rosa, P. and Ramos, D. (2020) 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.
Energy and Power Engineering,
12, 459-476. doi:
10.4236/epe.2020.128028.