1 Abstract— The search for clean energy development has motivated the expansion of renewable sources of generation around the world. In Brazil, Small Hydro Plants (SHP), Cogeneration from Sugarcane waste (Biomass) and Wind Power Plants (WPP) are proving themselves to be attractive alternatives over the last years. One important characteristic of each of these technologies is their seasonal availability, which result in financial risks that can make the energy contracting of each individual source too risky: producers are forced to price the market risks faced when selling firm energy contracts (i.e., the risks of purchasing in the spot market whenever their production is smaller than the contracted amount) and this may ultimately lead each of the projects to not being as commercially attractive by itself. On the other hand, in Brazil these sources have complementary energy production patterns, which immediately suggest a portfolio approach to devise energy contracting strategies for Electricity Trading Companies (ETC), which can “blend” these different (and complementary) production patterns to offer a flat and firm energy delivery. The objective of this work is to develop a mathematical model to explore synergies due to the seasonal complementarities of a Biomass, a SHP and a WPP. The proposed model aims at composing an optimal portfolio of these sources and jointly determines the risk- constrained optimal trading strategy for selling an energy contract in the Brazilian forward contract market. The CVaR approach is used to measure and control the market risk associated to the energy delivery. Case studies will be presented with realistic data from the Brazilian power system showing different strategies of commercialization by an ETC. Index Terms – Electrical Engineering, Electrical Energy Commercialization, Conditional Value at Risk (CVaR), Stochastic Optimization, Renewable Energy. I. INTRODUCTION he need to curb the emissions of greenhouse gases that cause global warming has motivated the expansion of renewable sources of generation around the world as an option to promote clean energy development [1]. Among European countries, Wind Power Plants (WPPs) have been the main low carbon source, especially in Denmark, Germany and Spain. In North America, several states and provincial administrations have approved measures to increase the share of renewable sources among their respective generation parks, with WPPs F. Ralston, S. Granville, M. V. Pereira and L. A. Barroso are with PSR, Rio de Janeiro, Brazil (e-mail: {francisco, granville, mario, luiz}@psr- inc.com). A. Veiga is with the Department of Electrical Engineering, Pontifical Catholic University of Rio de Janeiro (PUC-Rio), Rio de Janeiro, Brazil (e- mail: alvf@ele.puc-rio.br). being the most successful option. This strong development of WPPs has stimulated studies on one of the main technical issues of this kind of power source: the improvement to current short-term power system operation planning methods, in order to cope with the fact that WPPs cannot be dispatched in the classical sense because of its intrinsic dependence on constantly-varying weather conditions. For example, in [2] a stochastic security approach to perform secure economic short-term scheduling of generation with uncertainty in wind production was developed. In the case of Brazil, although the strong presence of hydropower has relieved it from the same pressure other countries have been going through, the country has been encouraging the development of new renewable energy sources. Small Hydro Plants (SHPs) and cogeneration using sugarcane bagasse (Biomass) have been the most attractive options during the past few years, with hundreds of MW installed since 2004 [3], [4]. Additionally, WPPs have seen new opportunities emerge recently and dozens of new projects have been implemented in the country. The main challenge to the massive development of these three generation options in Brazil lies mostly on the commercial side: all these alternatives are impaired by the seasonal nature of their resources. SHPs small storage capacity makes inflow variability critical for these sources and its energy output can have a variation of more than 300% between the dry and wet periods. Biomasses have a seasonal (inflexible) energy production, which occurs only during the sugarcane harvest period (which typically happens during the dry period). WPPs energy output depends on the strength of the winds, which can be 500% greater during the dry period compared to the wet period. Producers are then forced to price the market risks faced when selling firm energy contracts (i.e., the risks of purchasing in the spot market whenever their production is smaller than the contracted amount) and this may ultimately lead each of the projects not being as commercially attractive by itself. On the other hand, in Brazil these sources have complementary energy production patterns: the harvest season of the sugarcane coincides with the dry season of small hydros which in turn has a negative correlation with the wind production. This characteristic suggests that the resulting joint portfolio composed by the three sources may be more competitive negotiating its energy than each individual source by itself. Risk Constrained Contracting Strategies of Renewable Portfolios Francisco Ralston, Sergio Granville, Mario Pereira , Fellow, IEEE, Luiz Augusto Barroso, Senior Member, IEEE and Alvaro Veiga T