BINOMIAL REAL OPTIONS MODEL WITH DYNAMIC PROGRAMMING APPLIED TO THE EVALUATION OF RAILWAY INFRASTRUCTURE PROJECTS IN BRAZIL
Autor(a) principal: | |
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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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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 |
_version_ |
1750318018507833344 |