Avaliação de projetos de investimento em cogeração de energia utilizando bagaço de cana-de-açúcar em biorrefinarias a partir do uso da teoria das opções reais
Autor(a) principal: | |
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Data de Publicação: | 2012 |
Tipo de documento: | Dissertação |
Idioma: | por |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/9852 |
Resumo: | The scenario of continuous increase in consumption of oil products combined with the consciousness that there must be a balance regarding the exploration of natural resources and environmental conservation, has been promoting the search for alternative energy sources. This growing interest has been applied to power generation from biomass of sugarcane, which is becoming more and more common in Brazil, but there is still a huge potential to be explored. Within this context it becomes relevant to decision making for investments in cogeneration projects and this paper intended to increase the analysis and decision making using the Real Options Theory, a tool for adding value to the uncertainties, the model fits perfectly Brazilian Energy regulatory framework, where large energy price volatilities are observed over the years. This study aims is to determine the best moment to invest in cogeneration units. The structure of the study was divided into three scenarios for biorefineries size, 2 million of crushing capacity of sugar cane per year, 4 million and 6 million, thus aiming to have a representation of the all biorefineries size in the country. In addition, we analyzed three scenarios of energy price and linked volatility, as the main variable of this type of project viability is the price of energy. Volatilities were calculated according to the historical price in regulated environment, twice the regulated environment and projection of PLD, representing, respectively, low, medium and high, volatile energy price. After this, were elaborated nine decision trees, which show for the investment managers that in a scenario of low volatility creates value to be positioned and have the real option to invest or postpone investment for any size of plant. In the scenario with an average volatility, the manager is advised to be positioned in plants of medium to large for the feasibility of the investment. Finally, when the price scenario is highly volatile, there is a greater risk and there is a greater probability of viability of investment in large plants. |
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Tatoni, Walter MilanEscolas::EESPMartelanc, RoyGurgel, Ângelo CostaRochman, Ricardo Ratner2012-06-21T15:57:49Z2012-06-21T15:57:49Z2012-05-24TATONI, Walter Milan. Avaliação de projetos de investimento em cogeração de energia utilizando bagaço de cana-de-açúcar em biorrefinarias a partir do uso da teoria das opções reais. Dissertação (Mestrado Profissional em Agronegócios) - Escola de Economia de São Paulo, Fundação Getúlio Vargas - FGV, São Paulo, 2012.http://hdl.handle.net/10438/9852The scenario of continuous increase in consumption of oil products combined with the consciousness that there must be a balance regarding the exploration of natural resources and environmental conservation, has been promoting the search for alternative energy sources. This growing interest has been applied to power generation from biomass of sugarcane, which is becoming more and more common in Brazil, but there is still a huge potential to be explored. Within this context it becomes relevant to decision making for investments in cogeneration projects and this paper intended to increase the analysis and decision making using the Real Options Theory, a tool for adding value to the uncertainties, the model fits perfectly Brazilian Energy regulatory framework, where large energy price volatilities are observed over the years. This study aims is to determine the best moment to invest in cogeneration units. The structure of the study was divided into three scenarios for biorefineries size, 2 million of crushing capacity of sugar cane per year, 4 million and 6 million, thus aiming to have a representation of the all biorefineries size in the country. In addition, we analyzed three scenarios of energy price and linked volatility, as the main variable of this type of project viability is the price of energy. Volatilities were calculated according to the historical price in regulated environment, twice the regulated environment and projection of PLD, representing, respectively, low, medium and high, volatile energy price. After this, were elaborated nine decision trees, which show for the investment managers that in a scenario of low volatility creates value to be positioned and have the real option to invest or postpone investment for any size of plant. In the scenario with an average volatility, the manager is advised to be positioned in plants of medium to large for the feasibility of the investment. Finally, when the price scenario is highly volatile, there is a greater risk and there is a greater probability of viability of investment in large plants.O cenário de continuo aumento do consumo de derivados do petróleo aliado a conscientização de que é necessário existir um equilíbrio com relação a exploração de recursos naturais e preservação do meio ambiente, vem impulsionando a busca por fontes alternativas de energia. Esse crescente interesse vem se aplicando a geração de energia a partir de biomassa da cana de açúcar, que vem se tornando cada vez mais comuns no Brasil, porém ainda existe um imenso potencial a ser explorado. Dentro deste contexto, se torna relevante a tomada de decisão de investimentos em projetos de cogeração e este trabalho busca incrementar a analise e tomada de decisão com a utilização da Teoria das Opções Reais, uma ferramenta de agregação de valor às incertezas, cabendo perfeitamente ao modelo energético brasileiro, onde grandes volatilidades do preço de energia são observadas ao longo dos anos. O objetivo do trabalho é determinar o melhor momento para uma biorrefinaria investir em unidades de cogeração. A estrutura do trabalho foi dividida em três cenários de porte de biorrefinarias, as de 2 milhões de capacidade de moagem de cana-de-açúcar por ano, as de 4 milhões e as de 6 milhões, visando assim ter uma representação amostral das biorrefinarias do país. Além disso, analisaram-se três cenários de volatilidade atrelados ao preço futuro de energia, dado que a principal variável de viabilização deste tipo de projeto é o preço de energia. As volatilidades foram calculadas de acordo com histórico do ambiente regulado, o dobro do ambiente regulado e projeção de PLD, representando, respectivamente, níveis baixos, médios e altos, de volatilidade do preço de energia. Após isso, foram elaboradas as nove árvores de decisão, que demonstram para os gestores de investimento que em um cenário de baixa volatilidade cria-se valor estar posicionado e ter a opção real de investir ou adiar investimento para qualquer porte de usina. No cenário de média volatilidade de preço, aconselha-se ao gestor estar posicionado em usinas de médio a grande porte para viabilização do investimento. Por fim, quando o cenário de preços é de grande volatilidade, tem-se um maior risco e existe a maior probabilidade de viabilização do investimento em usinas de grande porte.porSetor sucroalcooleiroSetor elétricoCogeraçãoBiorrefinariasOpções reaisModelo binomialEconomiaEnergia - Fontes alternativasAçúcar - UsinasBagaço de cana - IndústriaOpções reais (Finanças)Agroindústria açucareiraAvaliação de projetos de investimento em cogeração de energia utilizando bagaço de cana-de-açúcar em biorrefinarias a partir do uso da teoria das opções reaisinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINALTese - Walter Milan Tatoni - vfentregue - 12-06-2012.pdfTese - Walter Milan Tatoni - vfentregue - 12-06-2012.pdfTese - Arquivo Principal 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|
dc.title.por.fl_str_mv |
Avaliação de projetos de investimento em cogeração de energia utilizando bagaço de cana-de-açúcar em biorrefinarias a partir do uso da teoria das opções reais |
title |
Avaliação de projetos de investimento em cogeração de energia utilizando bagaço de cana-de-açúcar em biorrefinarias a partir do uso da teoria das opções reais |
spellingShingle |
Avaliação de projetos de investimento em cogeração de energia utilizando bagaço de cana-de-açúcar em biorrefinarias a partir do uso da teoria das opções reais Tatoni, Walter Milan Setor sucroalcooleiro Setor elétrico Cogeração Biorrefinarias Opções reais Modelo binomial Economia Energia - Fontes alternativas Açúcar - Usinas Bagaço de cana - Indústria Opções reais (Finanças) Agroindústria açucareira |
title_short |
Avaliação de projetos de investimento em cogeração de energia utilizando bagaço de cana-de-açúcar em biorrefinarias a partir do uso da teoria das opções reais |
title_full |
Avaliação de projetos de investimento em cogeração de energia utilizando bagaço de cana-de-açúcar em biorrefinarias a partir do uso da teoria das opções reais |
title_fullStr |
Avaliação de projetos de investimento em cogeração de energia utilizando bagaço de cana-de-açúcar em biorrefinarias a partir do uso da teoria das opções reais |
title_full_unstemmed |
Avaliação de projetos de investimento em cogeração de energia utilizando bagaço de cana-de-açúcar em biorrefinarias a partir do uso da teoria das opções reais |
title_sort |
Avaliação de projetos de investimento em cogeração de energia utilizando bagaço de cana-de-açúcar em biorrefinarias a partir do uso da teoria das opções reais |
author |
Tatoni, Walter Milan |
author_facet |
Tatoni, Walter Milan |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EESP |
dc.contributor.member.none.fl_str_mv |
Martelanc, Roy Gurgel, Ângelo Costa |
dc.contributor.author.fl_str_mv |
Tatoni, Walter Milan |
dc.contributor.advisor1.fl_str_mv |
Rochman, Ricardo Ratner |
contributor_str_mv |
Rochman, Ricardo Ratner |
dc.subject.por.fl_str_mv |
Setor sucroalcooleiro Setor elétrico Cogeração Biorrefinarias Opções reais Modelo binomial |
topic |
Setor sucroalcooleiro Setor elétrico Cogeração Biorrefinarias Opções reais Modelo binomial Economia Energia - Fontes alternativas Açúcar - Usinas Bagaço de cana - Indústria Opções reais (Finanças) Agroindústria açucareira |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Energia - Fontes alternativas Açúcar - Usinas Bagaço de cana - Indústria Opções reais (Finanças) Agroindústria açucareira |
description |
The scenario of continuous increase in consumption of oil products combined with the consciousness that there must be a balance regarding the exploration of natural resources and environmental conservation, has been promoting the search for alternative energy sources. This growing interest has been applied to power generation from biomass of sugarcane, which is becoming more and more common in Brazil, but there is still a huge potential to be explored. Within this context it becomes relevant to decision making for investments in cogeneration projects and this paper intended to increase the analysis and decision making using the Real Options Theory, a tool for adding value to the uncertainties, the model fits perfectly Brazilian Energy regulatory framework, where large energy price volatilities are observed over the years. This study aims is to determine the best moment to invest in cogeneration units. The structure of the study was divided into three scenarios for biorefineries size, 2 million of crushing capacity of sugar cane per year, 4 million and 6 million, thus aiming to have a representation of the all biorefineries size in the country. In addition, we analyzed three scenarios of energy price and linked volatility, as the main variable of this type of project viability is the price of energy. Volatilities were calculated according to the historical price in regulated environment, twice the regulated environment and projection of PLD, representing, respectively, low, medium and high, volatile energy price. After this, were elaborated nine decision trees, which show for the investment managers that in a scenario of low volatility creates value to be positioned and have the real option to invest or postpone investment for any size of plant. In the scenario with an average volatility, the manager is advised to be positioned in plants of medium to large for the feasibility of the investment. Finally, when the price scenario is highly volatile, there is a greater risk and there is a greater probability of viability of investment in large plants. |
publishDate |
2012 |
dc.date.accessioned.fl_str_mv |
2012-06-21T15:57:49Z |
dc.date.available.fl_str_mv |
2012-06-21T15:57:49Z |
dc.date.issued.fl_str_mv |
2012-05-24 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.citation.fl_str_mv |
TATONI, Walter Milan. Avaliação de projetos de investimento em cogeração de energia utilizando bagaço de cana-de-açúcar em biorrefinarias a partir do uso da teoria das opções reais. Dissertação (Mestrado Profissional em Agronegócios) - Escola de Economia de São Paulo, Fundação Getúlio Vargas - FGV, São Paulo, 2012. |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/9852 |
identifier_str_mv |
TATONI, Walter Milan. Avaliação de projetos de investimento em cogeração de energia utilizando bagaço de cana-de-açúcar em biorrefinarias a partir do uso da teoria das opções reais. Dissertação (Mestrado Profissional em Agronegócios) - Escola de Economia de São Paulo, Fundação Getúlio Vargas - FGV, São Paulo, 2012. |
url |
http://hdl.handle.net/10438/9852 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
instname_str |
Fundação Getulio Vargas (FGV) |
instacron_str |
FGV |
institution |
FGV |
reponame_str |
Repositório Institucional do FGV (FGV Repositório Digital) |
collection |
Repositório Institucional do FGV (FGV Repositório Digital) |
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Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV) |
repository.mail.fl_str_mv |
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_version_ |
1810023892879671296 |