This paper considers imbalance problems arising in Energy Management in Smart Grids (SG) as discrete-time stochastic linear systems subject to chance constraints, and proposes a Model Predictive Control (MPC) approach to solve them. It is well-known that handling the closed-loop constraint feasibility of such systems is in general difficult due to the presence of a potentially unbounded uncertainty source. To overcome such a difficulty, we propose two new ideas. We first reformulate the chance

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... onstraint using the so-called Conditional Value at Risk (CVaR), which is known to be the tightest convex approximation for chance constraints. We then relax the CVaR constraint using a penalty function depending on a coefficient parameter. An optimal solution is therefore obtained by solving a single unconstrained problem which, intuitively, takes into consideration a risk of the system trajectories in an undesirable state. A case study using an academic example is presented to estimate the a-posteriori probability of the coefficient parameter in order to show when such a penalty function is exact by means of probabilistic constraint fulfillment.