BINOMIAL REAL OPTIONS MODEL WITH DYNAMIC PROGRAMMING APPLIED TO THE EVALUATION OF RAILWAY INFRASTRUCTURE PROJECTS IN BRAZIL

Detalhes bibliográficos
Autor(a) principal: Gartner,Ivan Ricardo
Data de Publicação: 2022
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Pesquisa operacional (Online)
Texto Completo: http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0101-74382022000100213
Resumo: ABSTRACT This paper presents a methodology for evaluating public investments in railway infrastructure based on the theory of real options, using the binomial model combined with dynamic programming procedures and Monte Carlo simulation. This modelling was proposed in order to overcome the inefficiencies in the evaluation process of projects conducted by the Brazilian public agencies, as pointed out by World Bank studies. According to these studies, there is evidence that the various managerial and regulatory instances of the Brazilian government have been limited to applying classical analysis techniques, considering only the discounted cash flow indicators, instead of paying more attention to risk issues, as well as to the possibilities of managerial flexibility. The proposed analytical procedures are recommended to support infrastructure investment decisions that can be transferred to the private sector or to guide the formation of public-private partnerships (PPPs).
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spelling BINOMIAL REAL OPTIONS MODEL WITH DYNAMIC PROGRAMMING APPLIED TO THE EVALUATION OF RAILWAY INFRASTRUCTURE PROJECTS IN BRAZILevaluation of railway infrastructure projectsbinomial real options modeldynamic programmingABSTRACT This paper presents a methodology for evaluating public investments in railway infrastructure based on the theory of real options, using the binomial model combined with dynamic programming procedures and Monte Carlo simulation. This modelling was proposed in order to overcome the inefficiencies in the evaluation process of projects conducted by the Brazilian public agencies, as pointed out by World Bank studies. According to these studies, there is evidence that the various managerial and regulatory instances of the Brazilian government have been limited to applying classical analysis techniques, considering only the discounted cash flow indicators, instead of paying more attention to risk issues, as well as to the possibilities of managerial flexibility. The proposed analytical procedures are recommended to support infrastructure investment decisions that can be transferred to the private sector or to guide the formation of public-private partnerships (PPPs).Sociedade Brasileira de Pesquisa Operacional2022-01-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersiontext/htmlhttp://old.scielo.br/scielo.php?script=sci_arttext&pid=S0101-74382022000100213Pesquisa Operacional v.42 2022reponame:Pesquisa operacional (Online)instname:Sociedade Brasileira de Pesquisa Operacional (SOBRAPO)instacron:SOBRAPO10.1590/0101-7438.2022.042.00260438info:eu-repo/semantics/openAccessGartner,Ivan Ricardoeng2022-06-10T00:00:00Zoai:scielo:S0101-74382022000100213Revistahttp://www.scielo.br/popehttps://old.scielo.br/oai/scielo-oai.php||sobrapo@sobrapo.org.br1678-51420101-7438opendoar:2022-06-10T00:00Pesquisa operacional (Online) - Sociedade Brasileira de Pesquisa Operacional (SOBRAPO)false
dc.title.none.fl_str_mv BINOMIAL REAL OPTIONS MODEL WITH DYNAMIC PROGRAMMING APPLIED TO THE EVALUATION OF RAILWAY INFRASTRUCTURE PROJECTS IN BRAZIL
title BINOMIAL REAL OPTIONS MODEL WITH DYNAMIC PROGRAMMING APPLIED TO THE EVALUATION OF RAILWAY INFRASTRUCTURE PROJECTS IN BRAZIL
spellingShingle BINOMIAL REAL OPTIONS MODEL WITH DYNAMIC PROGRAMMING APPLIED TO THE EVALUATION OF RAILWAY INFRASTRUCTURE PROJECTS IN BRAZIL
Gartner,Ivan Ricardo
evaluation of railway infrastructure projects
binomial real options model
dynamic programming
title_short BINOMIAL REAL OPTIONS MODEL WITH DYNAMIC PROGRAMMING APPLIED TO THE EVALUATION OF RAILWAY INFRASTRUCTURE PROJECTS IN BRAZIL
title_full BINOMIAL REAL OPTIONS MODEL WITH DYNAMIC PROGRAMMING APPLIED TO THE EVALUATION OF RAILWAY INFRASTRUCTURE PROJECTS IN BRAZIL
title_fullStr BINOMIAL REAL OPTIONS MODEL WITH DYNAMIC PROGRAMMING APPLIED TO THE EVALUATION OF RAILWAY INFRASTRUCTURE PROJECTS IN BRAZIL
title_full_unstemmed BINOMIAL REAL OPTIONS MODEL WITH DYNAMIC PROGRAMMING APPLIED TO THE EVALUATION OF RAILWAY INFRASTRUCTURE PROJECTS IN BRAZIL
title_sort BINOMIAL REAL OPTIONS MODEL WITH DYNAMIC PROGRAMMING APPLIED TO THE EVALUATION OF RAILWAY INFRASTRUCTURE PROJECTS IN BRAZIL
author Gartner,Ivan Ricardo
author_facet Gartner,Ivan Ricardo
author_role author
dc.contributor.author.fl_str_mv Gartner,Ivan Ricardo
dc.subject.por.fl_str_mv evaluation of railway infrastructure projects
binomial real options model
dynamic programming
topic evaluation of railway infrastructure projects
binomial real options model
dynamic programming
description ABSTRACT This paper presents a methodology for evaluating public investments in railway infrastructure based on the theory of real options, using the binomial model combined with dynamic programming procedures and Monte Carlo simulation. This modelling was proposed in order to overcome the inefficiencies in the evaluation process of projects conducted by the Brazilian public agencies, as pointed out by World Bank studies. According to these studies, there is evidence that the various managerial and regulatory instances of the Brazilian government have been limited to applying classical analysis techniques, considering only the discounted cash flow indicators, instead of paying more attention to risk issues, as well as to the possibilities of managerial flexibility. The proposed analytical procedures are recommended to support infrastructure investment decisions that can be transferred to the private sector or to guide the formation of public-private partnerships (PPPs).
publishDate 2022
dc.date.none.fl_str_mv 2022-01-01
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0101-74382022000100213
url http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0101-74382022000100213
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 10.1590/0101-7438.2022.042.00260438
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv text/html
dc.publisher.none.fl_str_mv Sociedade Brasileira de Pesquisa Operacional
publisher.none.fl_str_mv Sociedade Brasileira de Pesquisa Operacional
dc.source.none.fl_str_mv Pesquisa Operacional v.42 2022
reponame:Pesquisa operacional (Online)
instname:Sociedade Brasileira de Pesquisa Operacional (SOBRAPO)
instacron:SOBRAPO
instname_str Sociedade Brasileira de Pesquisa Operacional (SOBRAPO)
instacron_str SOBRAPO
institution SOBRAPO
reponame_str Pesquisa operacional (Online)
collection Pesquisa operacional (Online)
repository.name.fl_str_mv Pesquisa operacional (Online) - Sociedade Brasileira de Pesquisa Operacional (SOBRAPO)
repository.mail.fl_str_mv ||sobrapo@sobrapo.org.br
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