Efficiency, Leverage and Exit: The Role of Information Asymmetry in Concentrated Industries This paper develops a real options model of imperfect competition with asymmetric information that analyzes firms' exit decisions. Optimal exit decision is linked to firm characteristics such as financial leverage and efficiency. The model shows that informational asymmetries can lead more efficient and less leveraged firms to leave the product market prematurely. It also demonstrates how firm efficiency can increase debt capacity relative to rival firms. The model also has implications for firm risk and asset returns. Specifically, the paper shows that, when there is information asymmetry among rivals, rival actions can have a "news effect" that change a firm's dynamic risk structure. Human Capital Investment and the Completion of Risky R&D Projects We consider a firm that employs human capital to make a technological breakthrough. Since the probability of success of the breakthrough depends on the current stock of human capital the firm has an incentive to expand its human capital stock. The present value of the patent is stochastic but can be observed during the R\&D phase of the project. The exogenous value of the patent determines the firm's decisions to invest in human capital, to abandon the project if necessary, and to invest in marketing the new product. We study the corresponding optimal stopping times, determine their value and risk consequences, and derive optimal investment in the stock of human capital. While optimal investment in human capital is very sensitive to its productivity do increase the probability of a breakthrough it is insensitive to changes in the volatility of the present value of the patent. The value of the firm is driven by fixed labor costs that occur until the breakthrough is made, the call option to invest in human capital and market the product, and the put option to abandon the project. These options together with labor costs' based operating leverage determine the risk dynamics. Risk varies non-monotonically with the stochastic value of the patent and is U-shaped. Migration Options for Skilled Labor and Optimal Investment in Human Capital This paper develops a model of optimal education choice of an agent who has an option to emigrate. Using a real options framework, we analyze the time evolution of human capital in the country of origin and investigate the role of migration possibilities in the accumulation of different types of human capital. The analysis shows that the accumulation of human capital depends crucially on the level of uncertainty and the transferability of human capital across countries. Government subsidies are an important determinant of the composition of different types of human capital and can be crucial in alleviating the brain drain problem. (author's abstract)

This thesis consists of three essays on risk management in crude oil markets. In the first essay, the valuation of an oil sands project is studied using real options approach. Oil sands production consumes substantial amount of natural gas during extracting and upgrading. Natural gas prices are known to be stochastic and highly volatile which introduces a risk factor that needs to be taken into account. The essay studies the impact of this risk factor on the value of an oil sands project and its optimal operation. The essay takes into account the co-movement between crude oil and natural gas markets and, accordingly, proposes two models: one incorporates a long-run link between the two markets while the other has no such link. The valuation problem is solved using the Least Square Monte Carlo (LSMC) method proposed by Longsta ff and Schwartz (2001) for valuing American options. The valuation results show that incorporating a long-run relationship between the two markets is a very crucial decision in the value of the project and in its optimal operation. The essay shows that ignoring this long-run relationship makes the optimal policy sensitive to the dynamics of natural gas prices. On the other hand, incorporating this long-run relationship makes the dynamics of natural gas price process have a very low impact on valuation and the optimal operating policy. In the second essay, the relationship between the slope of the futures term structure, or the forward curve, and volatility in the crude oil market is investigated using a measure of the slope based on principal component analysis (PCA). The essay begins by reviewing the main theories of the relation between spot and futures prices and considering the implication of each theory on the relation between the slope of the forward curve and volatility. The diagonal VECH model of Bollerslev et al. (1988) was used to analyse the relationship between of the forward curve slope and the variances of the spot and futures prices and the covariance between them. The results show that there is a significant quadratic relationship and that exploiting this relation improves the hedging performance using futures contracts. The third essay attempts to model the spot price process of crude oil using the notion of convenience yield in a regime switching framework. Unlike the existing studies, which assume the convenience yield to have either a constant value or to have a stochastic behaviour with mean reversion to one equilibrium level, the model of this essay extends the Brennan and Schwartz (1985) model to allows for regime switching in the convenience yield along with the other parameters. In the essay, a closed form solution for the futures price is derived. The parameters are estimated using an extension to the Kalman filter proposed by Kim (1994). The regime switching one-factor model of this study does a reasonable job and the transitional probabilities play an important role in shaping the futures term structure implied by the model.

Los ensayos contenidos en esta disertación doctoral estudian como la explotación activos intangibles tales como patentes y propiedad intelectual pueden contribuir a la creación de valor y fortalecer las ventajas competitivas de la firma. En particular, se busca estudiar las diferentes estrategias seguidas por las empresas para explotar el valor creado a través de la innovación, examinando como la incertidumbre de mercado y los activos necesarios para explotar el la innovación, determinan la decisión de comercialización. El primer capitulo presenta un modelo teórico que estudia la decisión de comercializar una patente como una opción para invertir. El segundo capitulo aborda el problema de comercialización a través de una licencia, cuando el nivel de incertidumbre de mercado es alta. Finalmente, el ultimo capitulo examina como los spillovers entre diferentes grupos de investigación afectan el valor de las innovaciones creadas. / The essays in this thesis are concerned to study the potential linkages between Firms' business strategies and how the exploitation of intellectual assets determines the way innovation can help in building competitive advantages and increasing firm value. In particular, I focus on the different strategies employed by firms to exploit the value created by innovation, examining how market uncertainty and complementary assets affect commercialization decisions. The first chapter of the thesis develops a theoretical model that studies the decision to commercialize as an option to invest. The second chapter is an empirical test to find how market uncertainty can affect the likelihood that a disembodied patent will be licensed. Finally the last chapter studies how knowledge spillovers affect the value of patented inventions.

[pt] O Setor de energia elétrica no Brasil vem sofrendo fortes mudanças estruturais, cujo principal objetivo é criar um caráter competitivo para permitir ao setor crescer não mais por investimentos estatais, mas sim pelas mãos do capital privado. Com isso, espera-se que a oferta possa acompanhar a demanda crescente nos últimos anos, devido a falta de investimentos no setor, e fazer com que o risco de déficit de carga no futuro diminua. O Programa Prioritário de Termelétricas, lançado pelo governo federal, vai aumentar a oferta de energia no país com a construção de usinas termelétricas, aproveitando o fato da disponibilidade de gás natural existente, e com isso aumentará a participação de geração térmica na matriz energética brasileira. Essa mudança vai conferir mais confiabilidade ao parque gerador de energia, diminuindo o risco de déficit energético pela redução do nível de água dos reservatórios das usinas hidrelétricas. Além disso, as usinas termelétricas são uma alternativa de curto prazo para o Brasil, pois devido ao reduzido prazo de construção, permitiria o aumento da oferta durante a transição para o mercado competitivo, minimizando com isso os riscos de déficit no futuro. As termelétricas, nessa nova estrutura do setor elétrico brasileiro, podem se declarar flexíveis ou inflexíveis. Uma termelétrica flexível é aquela onde sua energia pode ser comercializada no Mercado Atacadista de Energia (MAE), logo ficando sujeita a volatilidade do mercado spot, mas podendo obter grandes lucros. Uma termelétrica inflexível é aquela onde toda sua energia é comercializada mediante contratos bilaterais, ou seja, a energia gerada não é comercializada no MAE. Isto reduz as incertezas, mas também reduz as oportunidades de grandes lucros. A maior incerteza de um projeto do setor elétrico brasileiro é o preço da energia elétrica que em países onde este setor foi reestruturado, como o Brasil, é determinado através do custo marginal de curto prazo (CMCP), por um modelo de otimização energética não publicado ao mercado. Em vista disso, essa dissertação se propõe a formular um modelo para os preços de energia elétrica no Brasil, avaliar uma planta de geração térmica utilizando a Teoria de Opções Reais aliada a técnica de simulação de Monte Carlo e comparar os resultados com os obtidos por Alessandro de Lima Castro em sua dissertação de Mestrado defendida em abril de 2000 cujo título é Avaliação de Investimento de Capital em Projetos de Geração Termoelétrica no Setor Elétrico Brasileiro Usando Teoria das Opções Reais. / [en] The Brazilian Electricity Sector has experienced strong structural changes, whose main objective is to create a competitiveness character to allow for the sector to grow not more for state investments, but now for the hands of the private capital. So, it is expected that supply can meet the growing demand in the last years, due to the lack of investments in the sector, and consequently reduce the risk of load deficit in the future. The Emergency Program of Thermal Plants, introduced by the federal government, will increase the offer of energy in the country with the construction of thermal plants, taking advantage of the availability of natural gas, and thus, will increase the participation of thermal generation in Brazil. That change will give more reliability to the Brazilian Electric System, reducing the risk of energy deficit due to the reduction of the level of water in the reservoirs of the hydro plants. Besides, thermal plants is a short-term alternative to Brazil, because its construction term is shorter than that of hydro plants, so this will increase the offer of energy during the transition for the competitive market, and so reducing the risk of load deficit in the future. Thermal Plants, in that new structure of the Brazilian Electric Sector, can be declared flexible either or inflexible. A flexible thermal plant is that where its energy can be negotiated in a WholeSale Energy Market, and so being subjects the volatility of the spot market, but it could obtain great profits. An inflexible thermal plant is that where its whole energy is negotiated by through bilateral contracts, that is, the energy generated is not negociated in the WholeSale Energy Market. This reduces uncertainties, but it also reduces the opportunities of great profits. The largest uncertainty of a project of the Brazilian electric sector is the price of electricity, and in countries where this sector was restructured, like in Brazil, it is determined through the short run marginal cost (SRMC), for energetic otimization model not published to the market. Thus, this dissertation intends to formulate a model for the price of electricity in Brazil, to evaluate a thermal plant using Real Options Theory and Monte Carlo simulation, and to compare the results with CASTRO´s dissertation: Evaluation of Capital Investment in Thermoelectric Generation Projects in the Brazilian Electricity Sector Using Real Options Theory. / [es] El Sector de energía eléctrica en Brasil ha sufrido fuertes cambios extructurales, con el objetivo de crear un carácter competitivo que permita el crecimiento de este sector, en manos del capital privado y no más por inversiones estatales. Con esto, se espera que la oferta consiga acompañar la demanda cresciente en los últimos años, debido a la falta de inversiones en el sector, y conseguir que el riesgo de déficit de carga en el futuro disminuya. El Programa Prioritario de Termoeléctricas, lanzado por el gobierno federal, pretende aumentar la oferta de energía en el país con la construcción de centrales termoeléctricas, aprovechando la disponibilidad de gas natural existente. Como consecuencia aumentará la participación de la generación térmica en la matriz energética brasilera. Este cambio dará mayor confiabilidad al parque generador de energía, diminuyendo el riesgo de déficit energético por la reducción del nível de agua de los depósitos de las centrales hidroeléctricas. Además, las centrales termoeléctricas constituyen una alternativa de corto plazo para Brasil que, gracias al reducido plazo de construcción, permitiría el aumento de la oferta durante la transición para el mercado competitivo, minimizando así, los riesgos de déficit en el futuro. Las termoeléctricas, en esta nueva extructura del sector eléctrico brasilero, pueden declararse flexibles o inflexibles. Em una termoeléctrica flexible la energía puede ser comercializada en el Mercado Atacadista de Energía (MAE), sujetándose a la volatilidad del mercado spot, pero pudiendo obtener grandes lucros. Una termoeléctrica inflexível comercializa toda su energía mediante contratos bilaterales, o sea, la energía generada no se comercializa en el MAE. Esto reduce los riesgos, pero también reduce las oportunidades de grandes lucros. El mayor riesgo de un proyecto del sector eléctrico brasilero es el precio de la energía eléctrica que, en países donde este sector fue reextructurado, (como en Brasil) se determina a través del costo marginal de corto plazo (CMCP); a través de un modelo de optimización energética no publicado al mercado. Esta disertación se propone formular un modelo para los precios de energía eléctrica en el Brasil, evaluar una planta de generación térmica utilizando la Teoría de Opciones Reales aliada a la técnica de simulación de Monte Carlo; y comparar nuestros resultados con los obtenidos por Alesandro de Lima Castro en su disertación de Mestrado defendida en abril de 2000 bajo el título Evaluación de Inversión de Capital en Proyectos de Generación Termoeléctrica en el Sector Eléctrico Brasilero Usando Teoría de las Opciones Reales.

Les smart grids sont considérés comme un moyen efficace pour accueillir plus largement des énergies renouvelables, de mieux maitriser la demande, d’améliorer les conditions d’exploitation du système électrique, d’augmenter sa performance et de faciliter le développement des nouveaux usages tels que le véhicule électrique. Cependant, ces bénéfices potentiels du smart grid sont également porteurs d’incertitudes pour le système électrique ainsi que pour ses acteurs. Ces incertitudes sont de nature technologique, économique, sociale, politique, entre autres.La thèse s’inscrit dans le cadre du projet GreenLys (un démonstrateur smart grid adressant des innovations allant du producteur d’énergie jusqu’au consommateur en incluant les acteurs du réseau électrique de transport et de distribution). Elle a pour objectif de proposer des paliers techniques et économiques de transition vers le smart grid à l’horizon 2050.Dans la perspective de cette thèse, trois incertitudes qui peuvent influencer considérablement les stratégies des investissements futurs sont traitées dans trois modèles séparés. Les trois modèles sont appliqués aux scénarios de GreenLys (un scénario conservateur ‘Grenelle’ qui respecte les engagements énergétiques européens et un scénario plus ambitieux ‘100% EnR’ qui vise une production électrique totalement renouvelable) pour proposer des paliers d’investissements smart grid et des recommandations. Premièrement, l’incertitude portant sur la régulation du réseau public de distribution est étudiée dans un modèle utilisant une approche d’options réelles combiné avec un algorithme logique floue. Deuxièmement, une approche d’options réelles basée sur un arbre binomial classique est utilisée pour analyser l’incertitude sur l’évolution du gisement de flexibilité. Enfin, l’incertitude portant sur les coûts systèmes d’informations est modélisée dans un algorithme basé sur un processus de Monte-Carlo. / Smart grids are seen as an adequate way to facilitate the penetration of renewable energies, to improve the electrical power system operating conditions, to increase its performance and to promote the development of new uses such as the electric vehicle. However, the potential benefits of smart grids come with uncertainties for the electrical power system itself and for its players as well. These uncertainties are technological, economic, social, political, among others.The thesis is part of GreenLys experimentations. GreenLys is a demonstrator project which tests the operation of a smart grid over the whole electricity supply chain: from the producer to the end consumer, including all those involved in the transportation, distribution and supply of electricity. This thesis aims to provide technical and economic transition towards smart grid by 2050.In the context of this thesis, three uncertainties are considered, each within a separated model. These uncertainties can significantly influence the strategies of future investments of smart grid. The developed models are applied to GreenLys scenarios (a conservative scenario that respects the European energy commitments called 'Grenelle' and an ambitious scenario that considers electricity production is fulfilled from renewables called '100%EnR') in order to propose some investment strategies and recommendations for smart grid.Firstly, the uncertainty about the future regulation of the public distribution network is studied in a model using a real option approach combined with a fuzzy logic algorithm. Secondly, a real option approach based on the classic binomial tree is used to analyze the uncertainty about the evolution of electrical loads flexibility. Finally, the uncertainty about the costs of smart grid information systems (Software) is modeled using a statistical Monte Carlo process.The results of the models developed in this thesis are combined and analyzed within techno-economic framework in order to spot the best smart grids deployment strategy with respect to GreenLys scenarios and experimentation zone. The highlighted strategies optimize the economic value of the investment while minimizing future risks.

[pt] O problema de valoração da opção de switch-use da terra é um enigma recorrente e de complexa solução, haja vista a grande variedade de incertezas relacionadas ao agronegócio no Brasil. Nesta dissertação é analisada e valorada essa opção através da abordagem da Teoria de Opções Reais (TOR), desenvolvendo um sistema de gerenciamento de longo prazo, considerando a instalação de um projeto de reflorestamento ou manejo silvipastoril e a existência inicial da pecuária de corte. A resolução do problema de onde e como investir é resolvida por meio da Simulação de Monte Carlo (SMC). As séries históricas de preços da madeira (diâmetros pequeno e médio) e do boi gordo, no período entre 1997 e 2015, são testadas para observar a sua aderência a um modelo estocástico de reversão à média (MRM). Os resultados mostraram que a decisão ótima a ser tomada é a de se investir imediatamente em um manejo silvipastoril, vencendo até mesmo as opções de aguardar e investir posteriormente. Por meio de análise de sensibilidade foram verificados os limites de segurança da decisão. / [en] The valuation problem of switch-use option of the land is a recurring and complex solution puzzle, given the wide range of uncertainties related to agribusiness in Brazil. This dissertation analyzed and valued this option through the approach of Real Options Theory (TOR), developing a long-term management system, considering the installation of a reforestation project or silvipasture management and initial stock of beef cattle. Solving the problem of where and how to invest is resolved through Monte Carlo Simulation (SMC). The historical series of timber prices (small and average diameters) and live cattle in the period between 1997 and 2015, are tested to observe their adherence to a stochastic model of mean reversion (MRM). The results showed that the optimal decision to be taken is to invest immediately in a silvipasture management, winning even the option to wait and invest later. Through sensitivity analysis the safety limits was of the decision are verified.

[pt] No Brasil, apesar da predominência da participação de usinas hidrelétricas no parque gerador, há alguns anos, devido ao Programa Prioritário de Termeletricidade (PPT), foram implantadas diversas centrais termelétricas movidas a Gás Natural. Muitas são as incertezas apresentadas aos agentes do Setor de Energia Elétrica no Brasil, e mais um risco tem ameaçado estas usinas: a oferta de Gás Natural. A conversão das usinas para bicombustí­vel, possibilitando a utilização de Óleo Diesel como combustível alternativo, surgiu como opção para eliminar este risco. Face às diversas incertezas apresentadas, as técnicas tradicionais de análise econômico-financeira se mostram limitadas para avaliar este investimento e as flexibilidades operacionais, sendo proposto que estas avaliações sejam feitas a partir da Teoria de Opções Reais, que consegue tratar as incertezas e flexibilidades mais adequadamente. As opções operacionais (gerar com Gás Natural ou com Diesel) podem ser vistas como uma seqüência de opções européias de compra (European call option), considerando a conversão como uma opção de mudança de insumo (switch-input Real Option) oferecida ao agente proprietário da usina. O objetivo maior deste trabalho é valorar esta opção para uma térmica instalada no subsistema Sudeste do Brasil, indicando, para cada caso, o prêmio que o agente estaria disposto a pagar pela tecnologia de conversão. Como método de avaliação, são utilizadas Simulações de Monte Carlo, a partir do modelo proposto de remuneração da usina, com as variáveis e incertezas associadas: ní­veis de despacho e contratação, preço do contrato e preço spot da energia elétrica, considerando que os custos variáveis unitários de geração (custos dos combustí­veis) futuros seguem um processo estocástico de Movimento Geométrico Browniano (MGB), além da possí­vel penalidade paga pela usina a ANEEL no caso de ser chamada a despacho pelo ONS e não gerar por falta de combustí­vel. Por fim, algumas análises de sensibilidade são apresentadas. / [en] In Brazil, despite the predominant participation of hydro power plants, some years ago, due to Thermo Power Priority Program (PPT), a large number of Natural Gaspowered plants were implanted. A lot of uncertainties are imposed to the players in the Brazilian Power Market, and one more risk arises: the Natural Gas offer. The bi-fuel conversion arises as an option to rule out this risk, since it allows the use of diesel as alternative fuel to the plant. Because of the many uncertainties presented, traditional techniques of economics and financial analysis are limited to value this investment and its operational flexibilities. Real Options Theory is proposed to value this investment, since it is able to deal more appropriately with the uncertainties and flexibilities. Operational options can be seen as a sequence of European Call Options, considering the conversion as a Switch-Input Real Option offered to the Thermo Power Plant’s owner. The main objective of this paper is to increase this option’s value, to a plant located in the Brazilian Southeast Subsystem, indicating in each case, the premium that the player would be willing to pay for the conversion technology. Monte Carlo Simulation was used as a valuation method, for the plant’s cash-flow model, considering the following variables and uncertainties: dispatch and contract level, contract energy and spot prices. Fuel costs are assumed to follow a Brownian Geometric Motion. The possibility of payment of fines to the Eletricity Regulatory Agency (ANEEL) in case of the power plant be dispatch by the Brazilian ISO (ONS) and not delivery energy to the system because of fuel constraints is also considered. Finally, we present sensitivity analysis.

Submitted by Elimar Veloso Conceição null (eli_fisica@hotmail.com) on 2018-09-12T14:33:29Z No. of bitstreams: 1 Dissertação_Elimar_Valuation_rev_27_08_2018_REVISADA_bancafinal.pdf: 2725779 bytes, checksum: 6720ea56f43ebf29faa7b75f0342a1a4 (MD5) / Approved for entry into archive by Neli Silvia Pereira null (nelisps@fcav.unesp.br) on 2018-09-13T11:18:22Z (GMT) No. of bitstreams: 1 conceicao_ev_me_jabo.pdf: 2725779 bytes, checksum: 6720ea56f43ebf29faa7b75f0342a1a4 (MD5) / Made available in DSpace on 2018-09-13T11:18:22Z (GMT). No. of bitstreams: 1 conceicao_ev_me_jabo.pdf: 2725779 bytes, checksum: 6720ea56f43ebf29faa7b75f0342a1a4 (MD5) Previous issue date: 2018-08-27 / Objetivo: Valorar um projeto de inovação oriundo da estratégia de diversificação de produtos, considerando as incertezas e a flexibilidade como fontes de valor ao projeto. Metodologia / Procedimentos de Pesquisa: É apresentado um estudo de caso, valorado por meio de opções reais, com a possibilidade de inclusão de novas informações, modeladas pelo Teorema de Bayes, as quais possibilitam ajustar às probabilidades iniciais do projeto. Resultados e Discussões: Espera-se que os resultados apontem para o efeito da nova informação e implicações na criação de valor para a empresa. Implicações Gerenciais: Demonstrar à comunidade, aos profissionais de mercado e acadêmicos a necessidade de uma abordagem mais profunda e sistêmica para o uso de estratégias de investimento, considerando fatores endógenos e exógenos à firma. Conclusões e Limitações da Pesquisa: Ao analisar um projeto de inovação com elevado nível de incerteza, variáveis probabilísticas podem não ser suficientes para mensurar o desempenho futuro do investimento. Assim, o conhecimento tácito, criado a partir de todo o conhecimento acumulado pelos tomadores de decisão, fornecem informações que podem e devem ser utilizadas para a avaliação do investimento. O presente estudo não considerou o valor da sinergia criada pela implementação deste novo projeto na estrutura organizacional, nem foram utilizados profissionais externos para a projeção dos fluxos de caixa. Originalidade: A originalidade reside em avaliar um projeto de inovação com a utilização de opções reais em conjunto com uma abordagem bayesiana em uma indústria de autopeças agrícolas, permitindo com isto, o incremento de novas informações, sem a utilização de métodos estocásticos para a determinação da volatilidade. / Objective: Value an innovation project from the product diversification strategy, considering the uncertainties and flexibility as sources of value to the project. Methodology / Research Procedures: We present a case study, evaluated through real options, with the possibility of including new information, modeled by Bayes' Theorem, in which they can adjust the probabilities of the initials of the project. Results and discussions: The results are expected to point to the effect of new information and implications on value creation for the company. Management Implications: Demonstrate to the community, market professionals and academics the need for a more profound and systemic approach to the use of investment strategies, considering factors that are endogenous and exogenous to the firm. Conclusions and Limitations of the Research: When analyzing an innovation project with a high level of uncertainty, probabilistic variables may not be sufficient to measure the future performance of the investment, thus, tacit knowledge, created from all the knowledge accumulated by decision makers, provides information that can and should be used for the evaluation of the investment. The present study did not consider the value of the synergy created by the implementation of this new project in the organizational structure, nor were external professionals used for the projection of cash flows. Originality: The originality lies in evaluating an innovation project with the use of real options together a bayesian approach in an agricultural autoparts industry, allowing with this, the increment of new information, without the use of stochastic methods to determine the volatility.

[pt] As emissões de gases de efeito estufa (GEE) e seus malefícios ao meio ambiente vêm tomando grande importância no cenário mundial ao longo dos últimos anos. Desde a revolução industrial o mundo passa por uma era de enorme crescimento populacional, grandes avanços tecnológicos e um aumento extraordinário na utilização dos recursos disponíveis. Como efeitos colaterais, há o aumento da poluição, a geração de lixos tóxicos, o desmatamento florestal e por fim, o aquecimento global. Dessa forma, conforme a população do planeta aumenta, torna-se cada vez mais importante a questão do desenvolvimento sustentável na base da economia global. Ao unir a necessidade de manutenção de uma estrutura organizacional simples e de baixo custo com a sustentabilidade empresarial, empresas varejistas podem vir a ter uma combinação de sucesso. A sustentabilidade, apesar de exigir investimentos, tem o potencial de trazer bons resultados através da economia de despesas operacionais e de manutenção. Neste sentido, a proposta do estudo é avaliar a opção de troca dos aparelhos de ar condicionado de uma rede varejista. Partindo do princípio que a rede varejista em questão é uma consumidora livre de energia, e que o preço da energia é uma variável aleatória, será utilizada para avaliar as flexibilidades embutidas no projeto, a Teoria das Opções Reais. / [en] The magnitude of the harm caused by the emission of Green House Gases in the environment has been gaining quite some importance in the World scenario within the past years. Since Industrial Revolution took place, the World has been passing through an era of enormous population growth, great technological advances and an extraordinary utilization of the available resources. As collateral effects, there are the growth of the World’s pollution, the emission of toxic trash, the destruction of forests, and lastly, the climate change. Thus, as the World’s population grows, more important it is the Sustainable Development issue in the center of the global economy. By unifying the need to have a simple organizational structure with low costs with the sustainability issue, retail companies might be able to have a very successful formula to operate. Sustainability, despite asking for new investments, have the capacity of bringing positive financial results through the economy of operational and maintenance costs. Though, the objective of this study is to evaluate the option of changing the air conditioning system of a retail company. Assuming that the retail company is a free consumer of energy in the Brazilian market, and that the price of energy is a random variable, the Real Option Theory will be used to evaluate the managerial flexibilities of the project.

Esta Tese é composta por dois ensaios, nos quais são apresentados modelos teóricos de Economia do Crime. O primeiro estuda o impacto de políticas de controle de armas sobre o crime através de um modelo teórico de crime e autodefesa com o uso de armas. As principais conclusões são que mudanças nos payoffs geram equilíbrios distintos, além disso, o controle de armas leva a uma redução nos crimes com armas e que estas políticas são mais eficientes quando afetam os custos tanto de criminosos quanto das vítimas. O segundo propõe um modelo dinâmico baseado em opções reais para avaliar a carreira criminosa. No modelo, os indivíduos podem escolher o melhor momento para se engajar no crime (atividade ilegal). Através da calibragem do modelo é possível observar que a opção por uma carreira criminosa depende de um retorno alto na atividade ilegal mesmo quando os indivíduos são neutros ao risco e possuem uma taxa de desconto intertemporal baixa. / This Thesis is composed by two essays, which theoretical models of economics of crime are presented. The first studies the impact of gun control policies on crime trough a theoretical model of crime and self-defense with guns. The main conclusions are that payoffs change generates different equilibriums, besides, gun control implies on a decrease of gun crimes and that such policies are more effective when affects both criminals and victims costs. The former purpose a dynamic model based on real options to evaluate the criminal career. In the model, individuals can choose the best moment to get in crime. Through model calibration is possible to observe that the option for a criminal career depends on a high return in the illegal activity even when individuals are risk neutral and when they have a low time discount.