Minimización del valor en riesgo condicionado en la generación de portafolios de energía: un caso real colombiano
Abstract
En este artículo se presenta un modelo de programación lineal entera mixta para la optimización de un portafolio para la generación de energía eléctrica, el cual tiene en cuenta la minimización del riesgo financiero, y restricciones sobre la utilidad mínima y las diferentes tecnologías para la generación de energía eléctrica. El modelo es estocástico en la demanda, las condiciones climáticas y los precios, y el riesgo es medido usando el CVaR (Conditional Value at Risk). Para validar el modelo, se han diseñado diferentes escenarios basados en información real y supuestos acerca de los precios, la demanda y el clima. Los resultados muestran que el modelo es sensible a los cambios en la demanda, entre otros factores.
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