This project is supported by the Chilean government, under the CONICYT PCI/REDES 150008 - 2015 call. The aim of the project is to support international-network cooperation projects between research centers. In […]

It concerns the analysis and optimization of hydro-thermal system operation planning and its resulting policies.

Portfolio optimization models, Asset Liability Management (ALM) models, computational finance, risk analysis and associated aspects of optimization under uncertainty (robust and stochastic optimization) and risk measure.

Tópicos de pesquisa: Modelo interno, capital mínimo requerido, Solvência II, otimização robusta

Research topics: Asset Liability Management (ALM) models, computational finance, risk analysis, and theoretical aspects of optimization under uncertainty such as stochastic dynamic programming models and robust optimization models.

Sponsor: ENEVA. 2012. We present a new methodology to support an energy trading company (ETC) to devise contracting strategies under an optimal risk-averse renewable portfolio. The uncertainty in the generation […]

Sponsor: UTE Norte Fluminense (EDF). 2011 Goal: a renewable generation simulation tool capable to produce a Monte Carlo Simulation of a set of renewable units conditioned (paired) to the scenarios […]

Research topics: Asset and liability management, multistage stochastic programming, risk management, time series simulation models.

The ALM system developed in this project envisions finding the optimal investment portfolio for the public pension fund of Angola while keeping a low insolvency risk.