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Abstract(s)
Os critérios neoclássicos de investimento ignoram três características fundamentais,
presentes na grande maioria dos projetos de investimento produtivos, sendo elas a
Flexibilidade, a Incerteza e a Irreversibilidade. Face a essas características, a
abordagem das Opções Reais parece ser a única abordagem competente quando
comparada com critérios como Payback, Taxa Interna de Rendibilidade ou Valor
Atual Líquido. Com vista a confirmar estas afirmações, aplica-se a uma situação
simulada o modelo de uma variável estocástica, que segue um processo
estocástico, mais concretamente um Geometric Brownian Motion com drift,
apresentado por Dixit e Pindyck (1994), modelo este que a par dos modelos de duas
variáveis estocásticas, como são exemplos os desenvolvidos por McDonald e Siegel
(1986) e Adkins e Paxson (2011), constituem aquele que é, tanto quanto sabemos, o
“estado da arte” da temática. Com base nesta aplicação recolhemos evidências de
que, de facto, através da consideração de oportunidades de investimento
perspetivadas em Opções Reais diminuímos a probabilidade de incorrer em
decisões de investimento que não são, de acordo com este critério, ótimas para
maximizar o valor do projeto em questão.
Neoclassical investment criteria ignore three key features of the vast majority of productive investment projects, which are Flexibility, Uncertainty and Irreversibility. Considering this characteristics, the approach of Real Options appears to be the unique proficient approach when compared to criteria such as Payback, Internal Rate of Return or Net Present Value. To confirm these statements, we apply a model of one stochastic variable, that follows a Geometric Brownian Motion with Drift, presented by Dixit and Pindyck (1994), since it constitute, along with the models of two stochastic variables, as are examples the one developed by McDonald and Siegel (1986) and the one developed by Adkins and Paxson (2011), the "state of art" in Real Options, as far as we know. Based on this application we show that, in fact, by considering investment opportunities envisaged into Real Options we reduce the likelihood of incurring in investment decisions that are not, in accordance with this criterion, optimal to maximize the value of the project in particular.
Neoclassical investment criteria ignore three key features of the vast majority of productive investment projects, which are Flexibility, Uncertainty and Irreversibility. Considering this characteristics, the approach of Real Options appears to be the unique proficient approach when compared to criteria such as Payback, Internal Rate of Return or Net Present Value. To confirm these statements, we apply a model of one stochastic variable, that follows a Geometric Brownian Motion with Drift, presented by Dixit and Pindyck (1994), since it constitute, along with the models of two stochastic variables, as are examples the one developed by McDonald and Siegel (1986) and the one developed by Adkins and Paxson (2011), the "state of art" in Real Options, as far as we know. Based on this application we show that, in fact, by considering investment opportunities envisaged into Real Options we reduce the likelihood of incurring in investment decisions that are not, in accordance with this criterion, optimal to maximize the value of the project in particular.
Description
Keywords
Opções reais Variáveis estocásticas Incerteza Irreversibilidade Flexibilidade Real options Stochastic variables Uncertainty Irreversibility Flexibility
Citation
Publisher
Instituto Politécnico do Porto. Escola Superior de Estudos Industriais e de Gestão