Título: | OPTIMIZATION OF A PORTFOLIO OF ELECTRIC ENERGY SWAPS IN BRAZIL USING THE OMEGA MEASUREMENT WITH CVAR CONSTRAINTS | ||||||||||||||||||||||||||||||||||||||||
Autor: |
IAGO EMANUEL BARBOSA DA COSTA VEIGA |
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Colaborador(es): |
LEONARDO LIMA GOMES - Orientador |
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Catalogação: | 17/JAN/2013 | Língua(s): | PORTUGUESE - BRAZIL |
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Tipo: | TEXT | Subtipo: | THESIS | ||||||||||||||||||||||||||||||||||||||
Notas: |
[pt] Todos os dados constantes dos documentos são de inteira responsabilidade de seus autores. Os dados utilizados nas descrições dos documentos estão em conformidade com os sistemas da administração da PUC-Rio. [en] All data contained in the documents are the sole responsibility of the authors. The data used in the descriptions of the documents are in conformity with the systems of the administration of PUC-Rio. |
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Referência(s): |
[pt] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=21001&idi=1 [en] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=21001&idi=2 |
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DOI: | https://doi.org/10.17771/PUCRio.acad.21001 | ||||||||||||||||||||||||||||||||||||||||
Resumo: | |||||||||||||||||||||||||||||||||||||||||
The Brazilian energy market is composed basically by hydroelectric and
thermoelectric energy sources, which can be contracted in two different
environments, one regulated and the other free. In this way, the pricing of energy
is something complex and uncertain, because its model takes in consideration the
behavior of future water affluences, besides estimating the more expensive
thermal units. In Brazil, there are four submarkets that have diverging prices and
some traders use this difference to reach extraordinary gains by entering into
Swap operations. This operation consists of buying and selling a same amount of
energy with its liquidation fixed at pre-determined date, at a spot price between
different submarkets. These companies use portfolio optimization and risk
management methods to reach optimal operations, in which there is a greater
probability of maximizing profits, while measuring risk. This study aim to find the
portfolio of Swaps that`s maximize the Omega measurement as the performance
measurement, has a estimated profit and uses the conditional Value at Risk
(CVaR) as the restriction for the risk that can be taken. Its objective is to help
traders maximize their profit without exceeding their risk limit. The study took in
consideration values from real previsions made by models provided by specialized
agencies, taking in consideration all the data for the years of 2012 and 2013, with
all the combinations of Swaps being studied. The optimal portfolio was achieved
in both cases however, it`s possible to conclude that this composition varies
according the input data, not existing thereby a unique optimal portfolio should
that be calculated by case.
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