A multivariate model for hybrid wind–photovoltaic power production with energy portfolio optimization

Generation of renewable energy is destined to grow further, motivated, for example, by the Paris Agreement, aimed at reducing the production of greenhouse gases. In particular, hybrid production plants allow the exploitation of different climatic sources to generate electricity. We analyze the electricity generation of a mixed wind–photovoltaic (PV) system, considering a multivariate model that involves the required climatic variables. We include the price of electricity in our model in order to evaluate the profitability of the system through its expected income. In addition, we investigate the optimal choice between these two production technologies via Markowitz’s classic portfolio selection theory. To this end, we then consider a portfolio of the income deriving from both wind and PV production. We determine the most efficient components that maximize the overall income of our portfolio. This analysis is enriched by taking into consideration the loss of load hours of efficient portfolios. Finally, we make an optimal choice between the two technologies. The models are validated via Monte Carlo simulations using empirical data.