Renewable sources play an important role in the
current climate world policy, emerging as an efficient way to
reduce greenhouse gas emissions that cause global warming.
Despite their appeal, renewable sources bring to the fore
important challenges on the economic side. In Brazil, the three
main renewable sources are wind power, small run-of-river
hydro and cogeneration from sugarcane waste. Their highly
seasonal yet complementary availability makes individual energy
selling through contracts a dangerous option. By taking
advantage of the resource mix, the optimal joint risk-adjusted
trading strategy creates financial surplus value that can be
studied using cooperative game theory. Therefore, the objective
of this work is twofold: first, to propose a risk-averse renewable
energy hedge pool to jointly sell a single complementary
renewable generation portfolio and, second, to analyze different
schemes of sharing the financial gains, namely quotas, between
the members of such a pool from a cooperative game theory point
of view. Results using realistic data from the Brazilian system are
discussed and four different quota allocation strategies are
analyzed: Energy Proportional, Shapley value, Nucleolus and
Proportional Nucleolus.
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