Abstract
An intelligent tool for decision aid in electric energy auctions is proposed. The proposed approach optimizes simultaneously the expected revenue maximization and the contract risks minimization. As risk metric, value at risk (VaR) is considered. To validate the proposed algorithm, two cases are presented. The first one considers midsize hydrothermal agents and the second one takes into account part of the portfolio of a Brazilian company. The results show the risk perception from the point of view of GENCO�s in competitive environment and demonstrate the effectiveness of the proposed algorithm in the decision support process
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