A risk averse (min-max) technique for the management of a multipurpose reservoir was first proposed by Orlovski et al. (1983) in a ''strict uncertainty'' framework. In this paper an extension of such a type of min-max technique to the case of a single mutiannual reservoir aimed at hydroelectric generation and water supply is presented. A new algorithm is proposed which was developed in the context of a real-world system existing in central Chile. ¿ American Geophysical Union 1995