Definition of a marketing strategy for electric energy through the modern portifolio theory application: mean - CVaR

• Grant number: 13/05261-7
• Support Opportunities: Scholarships in Brazil - Scientific Initiation
• Start date: August 01, 2013
• End date: June 30, 2014
• Field of knowledge: Engineering - Production Engineering - Economic Engineering
• Principal Investigator: Francisco Alexandre de Oliveira
• Grantee: Nathália Pires de Almeida
• Host Institution: Faculdade de Engenharia (FEG). Universidade Estadual Paulista (UNESP). Campus de Guaratinguetá. Guaratinguetá , SP, Brazil

Abstract

In recent years, energy industries of various countries are going through transformations in their market and regulatory structures. The main objective of this restructuring is to promote economic efficiency through competition. In General, the characteristic of the restructuring process is to introduce competition in the generation (leading to cost reduction and incentive for technological development), regulation and pricing control in the transmission (natural monopoly) and distribution. In this way, in a competitive environment, the company must generate value for shareholders and lenders, offering quality products to ensure customers. However, an investment in the sector will only occur if the investor has the available tools to measure and manipulate the binomial risk/return. Thus, this research seeks to develop a methodological approach to investment management in electricity markets, considering the main characteristic of the sector, i.e. the randomness of the marketing price of energy which is a good part of the revenue of the investor in its diverse forms of marketing.