Optimization of portfolio of contracts for companies of electric power generation

Portfolio optimization is a technique widely used to select investments in economic and financial zones. In the Brazilian Electric Market the portfolio models must consider not only different types of contracts used in the free market, but also different types of markets: the free market, the captive market and the spot market. Normally, the question is knowing which proportion of energy should be sold in each market, in order to maximize the return and minimize the risk. This article deals with a problem from the point of view of a power generator, where their objective is to maximize its profit, to serve their obligations regarding the delivery of energy and minimizing the risk associated with the occurrence of Spot Price - minimum (Spot Price). It is considered that the generator has flexible contracts and inflexible contracts to sell the energy. Inflexible contracts have delivery obligations of fixed energy and flexible contracts allow, the holder of the flexibility, to deliver or to receive an amount of variable energy. In this case, the holder of flexibility may be the purchaser or the generator. (author)