| Summary: | This article proposes the construction of an optimization model to define the product portfolio of a sugarcane mill, taking into account operational and financial aspects. It is considered that the revenue earned by a producer comes from the sale of sugar and alcohol in the physical market and the results obtained through hedging in the derivatives market of sugar. Employing CVaR (Conditional Value-at-Risk), as the risk measure, the model allows the construction of an efficient frontier and, according to the producer's risk tolerance, defines the optimal strategy of production (production mix) and activity in the derivatives market (hedge ratio). Through the model the article also seeks to analyze the advantage of using the options market in the construction of financial hedging strategies in agricultural commodities markets.
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