Risk Management in the Commercialization Activity in Brazil - An Approach by Using Markowitz, VaR and CVaR

In the new competitive environment of the electricity market, risk analysis is a powerful tool to guide investors under both contract uncertainties and energy prices of the spot market. This paper compares three risk measures: medium variance, maximum loss and medium maximum loss applied to the energy commercialization problem. These methodologies are used to support the decision-making process in the investment analysis problem, considering the definition of the best contracts portfolio. It is illustrated in this paper that, techniques presented by Markowitz, value-at-risk and conditional value-at-risk theories can be used in a complementary way, improving the quality of decision in the energy commercialization problem