# Power system portfolio selection under uncertainty

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## Abstract

We present a general methodology for power system portfolio selection under uncertainty in which fossil fuels and CO\(_2\) market prices as assumed as the main sources of risk. The planning problem is developed by considering the power system as a whole in its interactions between dispatchable sources and intermittent renewables, under load demand and power capacity constraints. The portfolio selection is performed taking into account costs and benefits of the power system from a societal perspective. Efficient frontiers and optimal generation portfolios are derived and discussed. Based on USA data, an empirical analysis is developed to illustrate the main features of this approach.

## Keywords

Power system Generation portfolio Non-dispatchable source CVaRD Portfolio frontier## JEL Classification

G31 G32 G33 M21 Q40## References

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