We study the resource investment decision faced by a firm that offers two demand-classes (i.e., products, services), while incorporating the firm's pricing decision into the investment decision. For this purpose, we consider a monopolistic situation and model the demand curve of each demand-class as a downward sloping linear function of its own price. The firm can invest in dedicated resources, which can only satisfy a specific demand-class, and/or in a more expensive, flexible resource, which can satisfy both demand-classes. We consider a two-stage stochastic decision model: In the first stage, the firm determines the dedicated and flexible resource capacities to invest in under demand uncertainty. In the second stage, demand curves are realized and the firm optimizes its revenue through pricing and resource allocation decisions, constrained by its capacity investment decision in the first stage. Our analysis provides the structure of the firm's optimal resource investment strategy as a function of price elasticities and investment costs, and shows how the value of resource flexibility depends on these parameters and demand correlations. Based on our analysis, we provide principles on the firm's optimal resource investment strategy under uncertainty. We show that it can be optimal for the firm to invest in the flexible resource when demand patterns are perfectly positively correlated, while it is not always optimal to invest in the flexible resource when demand patterns are perfectly negatively correlated. / Master of Science

With the increase in the occurrence of disasters (natural and man-made) that leave people injured, handicapped or dead, the disaster management theory is gaining more importance. As a consequence, human assistance and disaster relief organizations are managing increasingly more inventories anticipated to help people in need. Donations are the common means used by humanitarian relief organizations for procuring commodities to support some of their programs. Previous experiences have indicated that donations become a burden instead of offering relief when they do not match actual victims' needs. Accepting or rejecting donations is a key issue that can produce not only economic losses but loss of lives as well. The objective of this thesis is to provide a means of assessing acceptance or rejection decisions using decision tree analysis theory and utility theory. The proposed model considers the inputs that a decision-maker may face when accepting or rejecting a donation. Such inputs include these categories: the probability of the occurrence of disaster, the need for and further use of a commodity, the unit price and holding cost of the item, the benefit provided by the donation, and the probability of having subsequent donations when the initial donation is initially rejected. Various scenarios are simulated in Excel® environment through the Monte Carlo process. This will assess the varied impacts from the alternative inputs in the decision making process; a sensitivity analysis will evaluate the effects of various decisions. The results obtained from the simulation of the diverse scenarios indicate that the decision of accepting or rejecting donations is driven more by the possibility of the use of the commodity than by the probability of occurrence of the disaster. The findings from the model also indicate that the decision of accepting or rejecting is more sensitive to the relationship of sale price to benefit deployment of the commodity than to sale price alone. The simulation of the expected monetary benefit of the relief provided results in the development of graphs that can affect the decision making process when accepting or rejecting donations.

L’adaptation au changement global à l’échelle des bassins versants requiert la sélection des mesures d’adaptation efficace dans un contexte d’incertitudes élevées concernant les conditions futures. Étant donné l’interdépendance entre les usagers de l’eau à l’échelle d’un bassin versant, des accords sont nécessaires pour mettre en place les mesures d’adaptation les plus efficaces. Cette thèse développe une approche pour : sélectionner un programme de mesures d’adaptation coût-efficace dans un contexte d’incertitudes liées au changement climatique ; et pour définir une répartition équitable du coût d’un tel programme de mesures entre les différentes parties prenantes. Le cadre méthodologique développé intègre les deux principales approches habituellement utilisées pour la planification de l’adaptation. La première, intitulée « Top-down» (Descendante), évalue l’impact de différents scénarios climatiques au niveau global sur les ressources en eau à l’échelle locale. La deuxième approche, appelée « Bottom-up » (Ascendante), commence par évaluer la vulnérabilité au niveau local pour ensuite identifier des mesures d’adaptation qui permettront de faire face à un futur incertain. Les résultats des approches précédentes, appliquées dans le bassin versant de l’Orb (France), ont été intégrés au moyen d’un modèle d’optimisation pour sélectionner une combinaison coût-efficace de mesures d’adaptation, considérant la possibilité de développer de nouvelles infrastructures, mais aussi de mettre en place des mesures d’économie d’eau dans les ménages ou d’amélioration de l’efficacité de l’irrigation. Le modèle est ensuite utilisé pour explorer les arbitrages possibles entre différents objectifs de planification et identifier des mesures d’adaptation robustes et de moindre regret. La question de la répartition du coût du plan d’adaptation est ensuite considérée depuis deux perspectives complémentaires. Le processus de négociation entre les acteurs impliqués est modélisé au moyen de la théorie des jeux coopératifs pour définir des scénarios de répartition des coûts équitables. Ces scénarios sont ensuite comparés avec des règles de répartition des coûts basées sur différents principes de justice sociale évaluées avec les acteurs locaux pour apporter des éléments de discussion au processus de négociation. Le cadre méthodologique interdisciplinaire développé durant cette thèse contribue à combler l’écart entre les méthodes Top-down (descendantes) et Bottom-up (ascendantes) pour informer la définition de plan d’adaptation coût-efficace et équitable à l’échelle locale. / Adaptation to global change challenges at the river basin scale requires selecting from demand and supply management measures in a context of high uncertainty on future conditions. Given the interdependency of water users, agreements need to be found at the local level to implement the most effective adaptation measures. Therefore, this thesis develops an approach combining economics and water resources engineering to: select a cost-effective programme of adaptation measures in the context of climate change uncertainty; and define an equitable allocation of the cost of the adaptation plan between the stakeholders involved. The framework developed integrates inputs from the two main approaches commonly used to plan for adaptation. The first, referred to as “top-down”, estimates the impact on the local water resources from different climate change scenarios at the global level. Conversely, the second, called “bottom-up”, starts by assessing vulnerability at the local level to then identify adaptation measures to face an uncertain future. Outcomes from the previous approaches applied in the Orb River basin (France) are integrated to select a cost-effective combination of adaptation measures through a least-cost optimization model developed at the river basin scale. Supply-side infrastructure development measures are considered, as well as demand-side household water conservation measures or irrigation efficiency improvement. The model is then used to investigate the trade-offs between different planning objectives and to identify robust and least-regret adaptation measures. The issue of allocating the cost of the adaptation plan is considered from two complementary perspectives. The outcome of a negotiation process between the stakeholders is modelled through the implementation of cooperative game theory to define cost allocation scenarios. These results are then compared with cost allocation rules based on social justice principles to provide contrasted insights into a negotiation process. The interdisciplinary framework developed during this thesis combines economics and water resources engineering methods, creating a promising means of bridging the gap between bottom-up and top-down approaches and supporting the definition of cost-effective and equitable adaptation plans at the local level.

京都大学 / 新制・課程博士 / 博士(経済学) / 甲第24381号 / 経博第668号 / 新制||経||303(附属図書館) / 京都大学大学院経済学研究科経済学専攻 / (主査)教授 関口 格, 教授 原 千秋, 教授 NEWTON Jonathan Charles Scott / 学位規則第4条第1項該当 / Doctor of Economics / Kyoto University / DGAM

[pt] O objetivo desta dissertação de mestrado é analisar o novo marco regulatório do setor elétrico brasileiro e seus impactos para as empresas distribuidoras de energia. Para isto, foi desenvolvida uma ferramenta computacional para elaborar estratégias de atuação das distribuidoras nos leilões de compra de energia instituídos pela nova regulamentação. Desta forma, é possível simular o processo de contratação das distribuidoras no âmbito do ACR e, com os resultados, realizar análises do impacto das novas regras na alocação dos riscos as distribuidoras. O problema consiste, em um ambiente de incerteza da demanda e dado um conjunto de instrumentos de risco, determinar a estratégia de contratação das distribuidoras, fornecendo o montante de energia a ser comprado em cada leilão anteriormente descrito e resultado da melhor compra dados os contratos candidatos. A metodologia de solução é otimização estocástica multi-estágio, levando em consideração, principalmente, os diversos horizontes de contratação e preços da energia, visando minimizar uma ponderação entre tarifa para consumidor e custos para distribuidora. / [en] The objective of this work is to analyze the new regulatory framework of the Brazilian electric sector. In this sense, it was developed a computational tool in order to elaborate strategies for the distribution companies (DISCOs) in the energy auctions instituted by the new regulation. The computational tool was used to simulate the contracts acquisition process by the DISCOs and the results were analyzed to measure impact of new rules and risks allocation for the distribution companies. The problem consists, considering the demand uncertainty and the available risk management instruments, in determining the contracting strategy of the DISCOs, i.e., the amount of energy to be bought in each auction that results from the best purchase given the candidate contracts. The solution methodology is based on a multi-stage stochastic optimization algorithm, minimizing the tariff for consumer and costs for DISCO, taking into account different prices and horizons of the energy contracts.

[pt] Tradicionalmente, em indústrias de produção de peças discretas, no nível tático do planejamento da produção, é calculado o plano mestre de produção (Master Production Scheduling – MPS), que estabelece a quantidade de cada bem a ser produzida por período. Com o MPS em mãos, a necessidade de matéria-prima é levantada e o requerimento de material é realizado levandose em consideração o lead time de chegada das peças, que está relacionado com o modal de transporte previamente definido pela empresa. Mais próximo da operação, o sequenciamento dos jobs é feito com o objetivo de atender ao planejamento do MPS. Normalmente, esses quatro problemas - definição do modal de transporte, elaboração do plano mestre de produção, definição do momento de compra de materiais e sequenciamento da produção - são tratados em momentos diferentes e, muitas vezes, de forma determinística. Neste trabalho é avaliado o impacto financeiro e operacional de realizar o planejamento de forma determinística e segregada. Em particular, avaliase: (i) o impacto da estocasticidade e co-otimização do planejamento da produção e das decisões de compra e (ii) a viabilidade do sequenciamento. Para (i) é proposto um modelo de otimização estocástica de dois estágios que co-otimiza as decisões de volume de produção, momentos de compra e modal de transporte. Para (ii) restrições de sequenciamento de jobs são adicionadas através de uma heurística e de um modelo de programação matemática. Avaliações empíricas são feitas por meio de dois experimentos numéricos com dados realistas de uma empresa do setor automobilístico. Para (i) observamos uma redução de custo de 7 por cento na operação para o ano de 2018 (ano do planejamento) e cerca de 3,5 por cento para 5000 cenários simulados (out-ofsample), comparando o modelo de dois estágios proposto com o procedimento normalmente adotado na indústria. Para (ii) também observamos uma redução de 8 por cento no custo de operação de 2018, e de 9,6 por cento para 50 cenários simulados (outof- sample), em relação ao modelo proposto em (i) e 13 por cento no custo de operação de 2018 e 15,6 por cento para 50 cenários simulados (out-of-sample), em comparação com o modelo típico da indústria. / [en] Traditionally, in discrete manufacturing industries, at the tactical level of production planning, the master production scheduling (MPS) is calculated, which establishes the quantity of each good to be produced per period. With the MPS in hand, the need for raw material is raised and the material requirement is carried out taking into account the lead time arrival of the parts, which is related to the transport mode previously defined by the company. Closer to the operation, the jobs scheduling is done with the purpose of meeting MPS planning. Typically, these four problems - definition of the transportation mode, preparation of master production scheduling, definition of the time to purchase materials and job scheduling - are dealt with at different times and often in a deterministic way. In this work we evaluate the financial and operational impact of carrying out the planning in a deterministic and segregated way. In particular, we assess: (i) the impact of stochasticity and co-optimization of production planning and purchasing decisions and (ii) the feasibility of job scheduling. For (i) a two-stage stochastic optimization model is proposed that co-optimizes production volume decisions, purchase moments and transportation mode. For (ii) sequencing constraints of jobs are added through a heuristic and a mathematical programming model. Empirical assessments are made through two numerical experiments with realistic data from a discrete manufacturing company. For (i) we observed 7 percent cost reduction in the operation for the year 2018 (planning year) and approximately 3.5 percent for 5000 simulated scenarios (out-of-sample), comparing the proposed two-stage model with the procedure typically adopted in the industry. For (ii) we also observed a reduction of 8 percent in the 2018 operation cost, and 9.6 percent for 50 simulated scenarios (out-of-sample), in relation to the model proposed in (i) and 13 percent in the 2018 operation cost and 15.6 percent for 50 simulated scenarios (out-of-sample), compared to the typical industry model.

[pt] O segmento industrial desempenha um importante papel no desenvolvimento do setor de gás Brasileiro. Em função dos baixos preços e dos incentivos dados pelo governo para a conversão dos processos industriais (muitos deles dependentes do óleo combustível) para o gás natural, criou-se uma fonte de demanda firme deste combustível. Como as termelétricas operam em regime de complementariedade ao sistema hidrelétrico (sendo coordenadas pelo Operador Nacional do Sistema (ONS) elétrico e chamadas a gerar apenas em situações hidrológicas desfavoráveis), o oconsumo de gás termelétrico ocorre de forma esporádica. Uma forma de se aumentar a eficiência do uso do gás, mesclando duas classes de consumidores se dá através dos contratos interruptíveis, que proporcionam ao produtor a capacidade de atender consumidores industriais bicombustível (gás e óleo por exemplo) com o gás ocioso das termelétricas. Como a atratividade deste contrato depende do desconto dado com relação ao preço do contrato firme, que não é interrompido, o objetivo deste trabalho é a construção de um modelo analítico para a determinação do preço ótimo dos contratos de fornecimento de gás interruptíveis, por parte de um produtor monopolista. O consumo de gás das termelétricas será considerado como principal fonte de incerteza do modelo, que por sua vez será caracterizada através de cenários de operação ótima do sistema elétrico, simulados conforme a metodologia utilizada pelo ONS. O perfil de risco do produtor será caracterizado pelo Conditional Value-at-Risk (CVaR). / [en] Brazilian natural gas industry growth has been led by electricity supply. As hydro plants generate at lower costs, thermal units only produce when hydro electricity is insufficient. This makes natural gas consumption highly volatile: Either all thermal units generate together or don’t. When all units generate together, the gas trader has to buy LNG - Liquified Natural Gas at the spot market incurring price risk. This risk can be mitigated in case the gas trader is able to sell flexible contracts to the industrial sector that can be interrupted in case of thermal generation. Thus the gas volume sold under flexible contracts is used either by thermal generation or by the industrial sector, virtually reducing total demand and avoiding emergency LNG purchases. The determination of the optimal price for these contracts is the aim of this dissertation. The determination model proposed will try to maximize a convex combination of CVaR - Conditional Value at Risk NPV - Net Present Value and trader´s profit NPV.

Submitted by Marcelo Moreira Russo (marcelo_m_russo@yahoo.com) on 2013-01-11T00:33:15Z No. of bitstreams: 1 20130110-Dissertacao-Real Option_Marcelo Russo.pdf: 1191678 bytes, checksum: a84358a46e9372d37389260fc8dbf38f (MD5) / Approved for entry into archive by Eliene Soares da Silva (eliene.silva@fgv.br) on 2013-01-11T12:56:21Z (GMT) No. of bitstreams: 1 20130110-Dissertacao-Real Option_Marcelo Russo.pdf: 1191678 bytes, checksum: a84358a46e9372d37389260fc8dbf38f (MD5) / Made available in DSpace on 2013-01-11T13:07:53Z (GMT). No. of bitstreams: 1 20130110-Dissertacao-Real Option_Marcelo Russo.pdf: 1191678 bytes, checksum: a84358a46e9372d37389260fc8dbf38f (MD5) Previous issue date: 2012-12-13 / Brazil and other emerging markets will continue to present many investment opportunities in the coming years. Finance professionals who manage the company’s capital budgeting processes will face challenges. Specific characteristics of these projects as commodity-linked prices (e.g., the case of oil and gas and agricultural projects) and the customary uncertainties related to emerging markets are additional challenges. In this scenario, a more sophisticated capital budgeting framework, Real Options, offers a more robust theory to deal with uncertainty, managerial flexibility, and volatile outcomes imbedded in these opportunities. Real Options theory assumes that the managers’ involvement in the project generates value so they might capitalize on good outcomes or reduce losses by abandoning projects with bad results. The primary objective of this research was to apply Real Options valuation analysis for an investment project valuation and discuss the process and the results of such methodology. The case study retroactively analyzed an investment project in Colombia and compared the results under traditional NPV methodology and Real Options. The valuation techniques were performed as if they had been applied at the time the project was approved and then compared with the project's actual performance. The case study evaluated two types of real options: first, the effect of an option to cancel a contract that is assessed from the perspective of the client; and second, the option to abandon and defer from the perspective of the company that will perform the investment. / Brasil e outros mercados emergentes continuarão a apresentar muitas oportunidades de investimento nos próximos anos. Profissionais financeiros que gerenciam os processos de orçamento de capital nas empresas terão grandes desafios a enfrentar. Características específicas destes projetos como preços ligados a commodities (por exemplo: petróleo e gás e projetos agrícolas) e as incertezas habituais relacionadas com os mercados emergentes são desafios adicionais. Neste cenário, ferramentas mais sofisticadas de orçamento de capital como Opções Reais, oferece uma teoria mais robusta para lidar com incerteza, flexibilidade gerencial, e os resultados voláteis embutidas nestas oportunidades. A teoria de Opções Reais assume que o envolvimento dos gestores nos projetos gera valor à medida que potencializam os bons resultados ou reduzem as perdas por abandonar projetos com maus resultados. O objetivo principal desta pesquisa foi aplicar a análise de Opções Reais para um projeto de investimento e discutir o processo e os resultados da metodologia. O estudo de caso analisa retroativamente um projeto de investimento na Colômbia e compara os resultados sob o tradicional VPL e Opções Reais. As técnicas de avaliação foram realizadas como se estivessem sendo aplicadas no momento em que o projeto foi aprovado, e depois comparadas com o desempenho real do projeto. O estudo de caso avaliado possui dois tipos de Opções Reais: primeiro, o efeito de uma opção para cancelar um contrato que é analisado a partir da perspectiva do cliente que pode exercer essa opção, e o segundo, a opção de abandonar e adiar a partir da perspectiva da empresa que irá executar a investimento.

[pt] A tese busca aprimorar, em termos teóricos e práticos, a modelagem de valoração econômica de investimentos sob alto grau de incerteza, tais como os projetos de Pesquisa e Desenvolvimento (P&D), sobretudo os de natureza incremental. Partindo de um modelo de valoração de projetos baseado na Teoria das Opções Reais, incorpora uma concepção de incerteza mais completa, que alcança aspectos ligados ao ato decisório, conhecida como Incerteza knightiana, onde são separados os conceitos de risco e incerteza. A aplicação integral da concepção de Knight (1921) em modelos quantitativos é possível em função do desenvolvimento matemático de Schmeidler (1982), que resultou em nova fórmula de cálculo de valores esperados, baseada na integral de Choquet (1953). O novo modelo compreende um cálculo de valor esperado que reconhece no agente uma aversão à incerteza nessa conceituação, conhecido como valor esperado de Choquet. / [en] The Thesis aims to improve, on theoretical and pratical terms, the modeling of economic valuation of investments under high uncertainty, such as Research and Development projects (R&D), especially those that are incremental in nature. From a valuation model based on the design of Real Options Theory, it incorporates a more complete view of uncertainty, which reaches the decisionmaking aspects of the act, known as knightian Uncertainty, where the concepts of risk and uncertainty are separated. The full implementation of the concept of Knight (1921) on quantitative models is possible according to the mathematical development of Schmeidler (1982), which resulted in a new formula for calculation of expected values, based on the Choquet integral (1953). The new model includes a calculation of expected value that makes it possible for the agent to recognize an uncertainty aversion in this concept, known as the Choquet expected value.

[pt] O cenário atual da indústria de gás natural brasileira é caracterizado por baixa maturidade e dinamismo de mercado. O comportamento estocástico da demanda por gás, somado volatilidade do preço de mercado do GNL, motiva a utilização de estocagem subterrânea como forma de inserir flexibilidade no suprimento, além de promover proteção contra flutuação no preço. No entanto, a literatura existente carece de uma uma ferramenta analítica mais robusta para apoiar uma análise quantitativa dos benefícios que a atividade UNGS poderia proporcionar à indústria de gás natural. Nesta tese, propomos um modelo de programação dinâmica estocástica para planejamento de longo/médio prazo, a fim de determinar a política ótima de fornecimento juntamente com a possibilidade de armazenamento de gás. Um modelo markoviano caracteriza a demanda termoelétrica, enquanto o preço de GNL é representado por um processo estocástico temporalmente independente. O modelo proposto é eficientemente resolvido usando o algoritmo de programação dinâmica dual estocástica para o estudo de caso brasileiro, considerando dados dos setores de gás e setor elétrico. Para uma escolha exógena, mas significativa, da localização e tamanho do armazenamento subterrâneo, observamos os benefícios operacionais e econômicos da flexibilidade que esta atividade poderia proporcionar. Além disso, comparando os custos de OPEX e CAPEX de investimentos em infraestrutura de armazenamento em campos depletados e cavernas de sal com as economias proporcionadas pelo armazenamento na operação de fornecimento, é possível observar o benefício econômico da atividade de estocagem. A estrutura proposta fornece suporte quantitativo importante para discussões sobre precificação de infraestrutura e modelo de negócios para Armazenamento Subterrâneo de Gás Natural. / [en] The current scenario of the Brazilian natural gas industry is characterized by low maturity and dynamism of the market.The stochastic behavior of Brazilian demand for natural gas, added to its associated market price volatility, motivates the usage of underground storage due to supply flexibility and protection against price fluctuations. However, the existing literature lacks a more robust analytical tool to support a quantitative analysis of the benefits that the UNGS activity could provide to the natural gas industry. In this thesis, we propose a stochastic dynamic programming model for long/medium term planning to determine the supply optimal policy together with the possibility of storing gas. A markovian model characterizes thermoelectric demand while market price is represented by a stagewise independent stochastic process. The proposed model is efficiently solved using the Stochastic Dual Dynamic Programming algorithm for the Brazilian case study considering realistic data for the actual gas network and electric power system. For an exogenous but meaningful choice of underground storage location and size, we observe the operational and economic benefits of the provided storage flexibility. Additionally, comparing the OPEX and CAPEX costs of investments in storage infrastructure in depleted fields and salt caverns with the savings provided by storage in the supply operation, it is possible to observe the economic benefit of storage. The proposed framework provides an important quantitative support for discussion about Underground Natural Gas Storage infrastructure pricing and business models.