The work presented in this report does not represent performance of any product relative to regulated minimum efficiency requirements.The laboratory and/or field sites used for this work are not certified rating test facilities. The conditions and methods under which products were characterized for this work differ from standard rating conditions, as described.Because the methods and conditions differ, the reported results are not comparable to rated product performance and should only be used to estimate performance under the measured conditions. v Contents List of Figures .
The Brazilian electric power industry has been undergoing significant structural changes, including the creation of a free market for electricity. To obtain above average margins, some firms attempt to increase profits by entering into uncovered trading positions, where the long term price is locked in on one side, while on the other side the firm is subject to variations in the short term spot price. In this article we consider the case of an electricity trading company that takes long and short positions in electricity. A model is proposed for the analysis and decision of the best electricity portfolio, based on the optimization of the Omega measure, subjected to Value at Risk - VaR restrictions. In order to adopt the Omega measure the short term prices are simulated. The results indicate that the portfolio decision is a composition between uncovered buy and seasonal buy with flat sell. (Full article available in Portuguese only)
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