Robust Multiobjective Decision Making in the Acquisition of Energy Assets

Rafael Bambirra (), Lais Schiavo, Marina Lima, Giovanna Miranda, Iolanda Reis, Michael Cassemiro, Antônio Andrade, Fernanda Laender, Rafael Silva, Douglas Vieira and Petr Ekel
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Rafael Bambirra: Programa de pós Graduação em Engenharia Elétrica, Universidade Federal de Minas Gerais—UFMG, Belo Horizonte 31270-901, Brazil
Lais Schiavo: ENACOM, Belo Horizonte 31275-100, Brazil
Marina Lima: ENACOM, Belo Horizonte 31275-100, Brazil
Giovanna Miranda: ENACOM, Belo Horizonte 31275-100, Brazil
Iolanda Reis: Aliança Energia, Belo Horizonte 30170-050, Brazil
Michael Cassemiro: Aliança Energia, Belo Horizonte 30170-050, Brazil
Antônio Andrade: Aliança Energia, Belo Horizonte 30170-050, Brazil
Fernanda Laender: Aliança Energia, Belo Horizonte 30170-050, Brazil
Rafael Silva: VALE, Nova Lima 34000-000, Brazil
Douglas Vieira: ENACOM, Belo Horizonte 31275-100, Brazil
Petr Ekel: ASOTECH, Belo Horizonte 30535-630, Brazil

Energies, 2023, vol. 16, issue 16, 1-21

Abstract: In asset management for energy portfolios, quantitative methodologies are typically employed. In Brazil, the NEWAVE computational model is universally used to generate scenarios of hydraulic production and future prices, which result in revenue distributions. These distributions are then used to estimate the portfolio’s revenue and assess its risk. Although this is a well-established analysis, it has some shortcomings that are not always considered. The validity of the revenue series constructed by NEWAVE, especially in long-term analysis, is a real problem for agents concerning the acquisition of assets such as power plants. Another issue is the disregard for other objectives that are important for the operationality of the management task and are often ignored, such as operational risk. To address these limitations, this work combines the areas of multicriteria decision making under uncertainty and risk management and presents a methodology for evaluating the acquisition of long-term energy assets, as well as a practical application of the proposed method. Investment alternatives are evaluated in multiple developed scenarios, so it is possible to measure how robust a given option is. By analyzing several scenarios simultaneously, a larger region of uncertainties can be covered, and therefore, decision making becomes more secure. The proposed methodology includes six objectives, designed to address a wider range of stakeholder needs. This approach is applied to an illustrative portfolio, producing results that allow for a more comprehensive understanding of decision attributes. Therefore, this work not only addresses the current limitations in the field but also adds an original contribution by considering simultaneously several scenarios and integrating multiple objectives in a robust and secure decision-making framework.

Keywords: energy investments; energy trade; risk management; long-term planning; multicriteria decision making (search for similar items in EconPapers)
JEL-codes: Q Q0 Q4 Q40 Q41 Q42 Q43 Q47 Q48 Q49 (search for similar items in EconPapers)
Date: 2023
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