Made available in DSpace on 2016-03-15T19:31:05Z (GMT). No. of bitstreams: 1 Marcio Barros Souza.pdf: 3064012 bytes, checksum: bbb11da9182e6b1ff4c1aee75ce7f916 (MD5) Previous issue date: 2014-05-07 / The aim of this study was to develop an analytical model of full stochastic programming, grounded on the Real Options Theory (ROT) for the analysis of the value of the investment opportunity in project to implement Enterprise Resource Planning (ERP) system. The proposed model is a modified extension of Wu et al. (2008), incorporating the possibility of a catastrophic event (or contingent event), as discussed in Schwartz and Zozaya-Gorostiza (2003). While a programming and stochastic optimization model, it is inserted in the context of Operational Research, whose nature, as the name implies, is the use of analytical scientific method to address operational problems in organizations. The managerial flexibility of the model was treated as a real option, in which there is the right, but not the obligation, to perform an action (for instance, postpone, expand, contract or abandon. The strategic decision concerned the possibility of purchasing and implementing the system as a whole package or through modules. Revenue estimates for the project were modeled as a stochastic process of the Geometric Brownian Motion type, while costs were modeled as a function of the characteristics of each cash outflow type, resulting in the choice of a probability distribution. The model uses Latin hypercube simulation to obtain the expected values of the parameters for generating a decision tree that guides the optimization process. Given the parameters and constraints of the model, the optimization searches for the optimal investment decision. Considering the model configuration and parameters adopted, the figures indicate that the process of purchasing and implementing the modules result in an optimal decision for the value of the investment opportunity. Furthermore, the sensitivity analysis of the parameters allowed the identification of the most sensitive parameters in the model that need careful analysis, to avoid distortions in the projections. / Neste trabalho, objetivou-se a desenvolver um modelo analítico de programação estocástica inteira, fundamentada pela Teoria de Opções Reais (TOR), para a análise do valor da oportunidade de investimento em projeto para implementação de sistema ERP - Enterprise Resource Planning. O modelo proposto é uma extensão modificada de Wu et. al. (2008), com a incorporação da possibilidade de ocorrência de um evento catastrófico (ou contingente), como em Schwartz e Zozaya-Gorostiza (2003). Enquanto modelo de programação estocástica e de otimização, está inserido no contexto de Pesquisa Operacional, cuja natureza, como o próprio nome indica, é o uso do método científico analítico para tratar dos problemas operacionais nas organizações. A flexibilidade gerencial do projeto é tratada como uma opção real, na qual há um direito, mas não uma obrigação, para realizar uma ação (por exemplo, adiar, expandir, contrair ou abandonar). A decisão estratégica relacionou-se com a possibilidade de comprar e implementar o sistema pelo pacote completo, ou então por módulos. As estimativas de receitas do projeto foram modeladas como um processo estocástico do tipo Movimento Browniano Geométrico, enquanto os custos foram modelados em função da particularidade de cada tipo de saída de caixa, resultando na escolha de uma distribuição de probabilidades. O modelo utiliza simulação por hipercubos latinos para obtenção dos valores esperados dos parâmetros, os quais alimentam uma árvore de decisão que baliza o processo de otimização. Dados os parâmetros e as restrições do modelo, a otimização busca a decisão ótima de investimento. Os resultados obtidos, considerando a configuração do modelo e os parâmetros adotados, apontam que a compra e implementação por módulos resulta em uma decisão ótima para o valor da oportunidade de investimento. Ademais, a análise de sensibilidade dos parâmetros possibilitou a identificação dos parâmetros mais sensíveis no modelo e que precisam ser analisados com atenção, para evitar distorções nas projeções.

Classical value estimation reinforcement learning algorithms do not perform very well in dynamic environments. On the other hand, the reinforcement learning of animals is quite flexible: they can adapt to dynamic environments very quickly and deal with noisy inputs very effectively. One feature that may contribute to animals' good performance in dynamic environments is that they learn and perceive the time to reward. In this research, we attempt to learn and perceive the time to reward and explore situations where the learned time information can be used to improve the performance of the learning agent in dynamic environments. The type of dynamic environments that we are interested in is that type of switching environment which stays the same for a long time, then changes abruptly, and then holds for a long time before another change. The type of dynamics that we mainly focus on is the time to reward, though we also extend the ideas to learning and perceiving other criteria of optimality, e.g. the discounted return, so that they can still work even when the amount of reward may also change. Specifically, both the mean and variance of the time to reward are learned and then used to detect changes in the environment and to decide whether the agent should give up a suboptimal action. When a change in the environment is detected, the learning agent responds specifically to the change in order to recover quickly from it. When it is found that the current action is still worse than the optimal one, the agent gives up this time's exploration of the action and then remakes its decision in order to avoid longer than necessary exploration. The results of our experiments using two real-world problems show that they have effectively sped up learning, reduced the time taken to recover from environmental changes, and improved the performance of the agent after the learning converges in most of the test cases compared with classical value estimation reinforcement learning algorithms. In addition, we have successfully used spiking neurons to implement various phenomena of classical conditioning, the simplest form of animal reinforcement learning in dynamic environments, and also pointed out a possible implementation of instrumental conditioning and general reinforcement learning using similar models.

Information technology (IT) investments have increased over the last half-century without clear justification in academic or practice-based literatures. One area that has not been adequately addressed in the past literature is the role of IT investments in mitigating firm financial vulnerability. This dissertation specifically attempts to understand the marginal effects of IT investments on financial vulnerability as defined by firm risk and R&D depreciation. Two research questions are pursued to help explain the role IT investments play in firm financial vulnerability: 1) What is the relationship between IT investments and R&D depreciation? and 2) What is the relationship between IT investments and firm risk? For this, I draw testable from the Real Options Theory. In addition, I develop measures of firm risk and the Depreciation of Business R&D capital. I source the data from three archival sources: Compustat, The Center for Research in Security Prices (CRSP), and the Ci Technology Database (CiTDB). This dissertation uses panel regression models using fixed effects to control the unobservable time invariant firm heterogeneity. To alleviate potential endogeneity and sampling biases, I use generalized method of moments models. The results suggest the relationships between IT investments and both firm risk and depreciation, namely that IT investments increase firm risk and decrease R&D depreciation.

This dissertation examines the strategic choices of multinational enterprises (MNEs) in host countries that become engaged in war. By combining the resource-based view and resource management theory, and drawing additional insights from research on real options and foreign strategic exit, I link the costs attributable to war to the strategic responses of the MNE at the subsidiary level in a novel firm-vulnerability framework. In particular, I develop theory regarding whether a subsidiary will exit from a host country, and if so, the timing (early or late) and mode (whole or partial) of exit. I test my hypotheses on a sample of 626 subsidiaries from 386 Japanese MNEs representing 51 industries in 23 countries at war, both interstate and civil, over the period 1988 to 2006. In analyzing the exit likelihood and timing decisions with time-varying covariates, I employ an extended Cox proportional hazard model, which allows for random-effects modeling of predictor variables at the subsidiary, parent MNE, and host country levels. To determine the exit mode of subsidiaries that choose exit over staying, I use binomial logit models. To correct for potential sample selection bias, I replicate my exit mode results with a Heckman probit model. My findings suggest that iv increasing strategic flexibility can counterbalance the potential disadvantages associated with leveraging strategically salient resources in high-risk locations. In examining war as a broad-based perturbation capable of destroying not only institutionalized values, but also the physical infrastructure and human capital of firms, this dissertation empirically demonstrates how political violence influences the strategies of MNEs. Furthermore, my interdisciplinary approach in integrating theoretical lenses from climate change and natural environment sustainability with existing management literatures to examine the effect of war on firms serves to enhance our understanding of individuals and collectives in extreme conditions.

Submitted by Cassio Enrico de Araujo e Campos (cassioenrico@hotmail.com) on 2017-09-11T19:12:08Z No. of bitstreams: 1 DissertaçãoCassioVersãoFinal.pdf: 2894148 bytes, checksum: 1a301822784e0d12301f8edb4915d154 (MD5) / Approved for entry into archive by Joana Martorini (joana.martorini@fgv.br) on 2017-09-11T19:18:28Z (GMT) No. of bitstreams: 1 DissertaçãoCassioVersãoFinal.pdf: 2894148 bytes, checksum: 1a301822784e0d12301f8edb4915d154 (MD5) / Made available in DSpace on 2017-09-12T15:11:08Z (GMT). No. of bitstreams: 1 DissertaçãoCassioVersãoFinal.pdf: 2894148 bytes, checksum: 1a301822784e0d12301f8edb4915d154 (MD5) Previous issue date: 2017-08-08 / The recent Brazilian economic recession, encouraged federal government to promote programs to stimulate logistics infrastructure projects. However, political and economic uncertain scenario have settled down the government in an unfavorable position in searching for long-term investments in the country. This outlook obliged government's search for alternative ways to increase collaterals, thus, leveraging the attractiveness of projects. This paper aims to propose a decision model, based on real options, for a road concession exposed to a railroad installation risk, in a confluent path. Due to freight cost differences between road and railways, forecasted highway concession's cash flows are clearly endangered. Real Options Theory seems to be capable, not only to mitigate the effects of the railroad impact on concession’s cash flow, but also, to manage adding value for the project. Leveraging NPV above the original deterministic one. / A recessão econômica que atingiu o Brasil nos últimos anos, incentivou o governo federal a promover novos programas de incentivo à infraestrutura logística, porém os cenários de incerteza política e econômica, deixaram o governo em situação desfavorável na busca por novos investimentos de longo prazo no país. Este cenário suscitou a busca governamental por alternativas que pudessem incrementar garantias e aumentar a atratividade dos projetos. O objetivo deste trabalho é propor um modelo para tomada de decisão baseado em opções reais para uma concessionária rodoviária exposta ao risco, em alguns anos, da instalação de uma ferrovia em trajeto confluente. Devido as diferenças entre o custo dos fretes rodoviários e ferroviários, há risco iminente aos fluxos de caixa futuros previstos no plano de negócios original da concessionária de rodovias. O que em um cenário econômico adverso, não atrai a atenção dos investidores. A Teoria de Opções Reais foi capaz, não só de mitigar os efeitos trazidos pela presença da ferrovia aos fluxos de caixa, bem como, conseguiu agregar valor ao projeto, gerando um VPL acima do valor determinístico inicial do projeto.

Submitted by GUSTAVO DANTAS FALCIN (gustavofalcin@yahoo.com.br) on 2018-02-27T19:47:37Z No. of bitstreams: 1 Dissertação_v11.3.pdf: 1650132 bytes, checksum: 712ff822b40cf5e3fa6ef0f3380c39d2 (MD5) / Approved for entry into archive by Thais Oliveira (thais.oliveira@fgv.br) on 2018-02-27T19:48:49Z (GMT) No. of bitstreams: 1 Dissertação_v11.3.pdf: 1650132 bytes, checksum: 712ff822b40cf5e3fa6ef0f3380c39d2 (MD5) / Made available in DSpace on 2018-02-27T21:18:15Z (GMT). No. of bitstreams: 1 Dissertação_v11.3.pdf: 1650132 bytes, checksum: 712ff822b40cf5e3fa6ef0f3380c39d2 (MD5) Previous issue date: 2018-02-07 / A crise do subprime no mercado norte americano em meados de 2008 trouxe grande volatilidade ao mercado de capitais global e se caracterizou por ser dado crédito em excesso a tomadores que não apresentavam garantias reais para estas operações. No entanto, até o surgimento de tal crise, o mercado brasileiro vivia um momento de grande expansão no setor imobiliário, impulsionado pelo bom momento econômico do país e pelos avanços no financiamento à habitação implementados pelos governos recentes, o que motivou diversas empresas do setor de construção civil a optar pela abertura de seu capital na bolsa de valores para financiar novos projetos e dar liquidez aos seus acionistas. O objetivo deste trabalho é avaliar as tomadas de decisão destas companhias pela abertura de capital baseado na teoria de opções reais, comparando os valores obtidos em suas avaliações como empresa pública e o valor da opção de abertura de capital utilizando o modelo binomial para incluir nestes cálculos as possibilidades de diversos cenários futuros de alta ou baixa do valor desta companhia. A Teoria de Opções Reais se demonstrou capaz não somente de realizar uma avaliação dos fluxos de caixa destas companhias mais completa decorrente das probabilidades nela utilizadas, como também nos trouxe que apesar das grandes variações de volatilidade ocorridas no período, as decisões de abertura de capital não se alterariam de forma relevante quando esta volatilidade foi bastante modificada. / The subprime crisis in the North American market in mid-2008 brought great volatility to the global capital market and was characterized by being given too much credit to borrowers who did not present real guarantees for these mortgages. However, until the onset of such crisis, the Brazilian market was experiencing a moment of great expansion in the real estate sector, driven by the good economic moment of the country and by the advances in housing financing implemented by the recent governments, which motivated several companies of construction sector to opt to open their capital in the stock exchange to finance new projects and provide liquidity to its shareholders. The object of this paper is to evaluate the decision making of these companies by the stock option based on the real options theory, comparing the values obtained in their valuations as public companies and the value of the option to open their capital using the binomial model to include in these calculations the chances of several future scenarios of high or low of the value of each company. The Real Options theory has demonstrated that it is not only able to carry out a more complete assessment of these companies cash flows due the probabilities used in it, but also that in spite of the large volatility variations occurring in the period, their decisions would not change significantly when this volatility was significantly modified.

The study investigates whether the main capital market theories and pricing models provide a reasonably accurate description of the working and efficiency of capital markets, of the pricing of shares and options and the effect the risk/return relationship has on investor behaviour. The capital market theories and pricing models included in the study are Portfolio Theory, the Efficient Market Hypothesis (EMH), the Capital Asset Pricing Model (CAPM), the Arbitrage Pricing Theory (APT), Options Theory and the BlackScholes (8-S) Option Pricing Model. The main conclusion of the study is that the main capital market theories and pricing models, as reviewed in the study, do provide a reasonably accurate description of reality, but a number of anomalies and controversial issues still need to be resolved. The main recommendation of the study is that research into these theories and models should continue unabated, while the specific recommendations in a South African context are the following: ( 1) the benefits of global diversification for South African investors should continue to be investigated; (2) the level and degree of efficiency of the JSE Securities Exchange SA (JSE) should continue to be monitored, and it should be established whether alternative theories to the EMH provide complementary or better descriptions of the efficiency of the South African market; (3) both the CAPM and the APT should continue to be tested, both individually and jointly, in order to better understand the pricing mechanism of, and risk/return relationship on the JSE; (4) much South African research still needs to be conducted on the efficiency of the relatively new options market and the application of the B-S Option Pricing Model under South African conditions. / Financial Accounting / M. Com. (Accounting)

Made available in DSpace on 2016-04-25T16:44:44Z (GMT). No. of bitstreams: 1 Mario Jose Montini.pdf: 1228889 bytes, checksum: 8ecf9e824f548c285293119b8ca60f3a (MD5) Previous issue date: 2015-08-03 / The complex nature of investment decisions, which involves a wide range of factors, results that the decision maker rarely dominates all aspects that determine the quality of his/her decision. Decisions are made by individuals and their personal preferences may influence the outcome of their decision. Investment evaluation processes of an organization should help to ensure the manager that investment projects are analyzed according to a welldefined evaluation guide, in the same way and with due impartiality, in order to avoid that such personal preferences outweigh the "canons" of the organization. There are within the theory the necessary and sufficient tools for the investment evaluation, however, with regard to guides for investment evaluation, these are developed by the own organizations to meet their specific needs. In this study, an exploratory research seeks to conceptualize investment project and investment evaluation. Discounted cash flow methodology, capital asset pricing model and traditional metrics of investment evaluation are studied, as well as the aspects related to risk, uncertainty and irreversibility of real projects. Then, having as objective to extract from the theory an investment evaluation guide based on discounted cash flow methodology, several guides for evaluating investments were analyzed, looking for a systematization of procedures able to gather the essential steps of an evaluation, to ensure that these are carried out systematically. Afterwards, based on a case study, the resulting investment evaluation guide has been tested in a real case - previously assessed by a renowned consulting firm - and it has been confirmed that the said evaluation guide could have been successfully employed to evaluate the real case / A natureza complexa das decisões de investimento, por envolver um largo espectro de fatores, resulta em que raramente o gestor domina todos os aspectos determinantes da qualidade de sua decisão. As decisões são tomadas por indivíduos e suas preferências pessoais podem influenciar o resultado de sua decisão. Os processos de avaliação de investimento de uma organização deveriam contribuir para assegurar ao gestor que os projetos de investimento fossem analisados segundo um roteiro de avaliação bem definido, da mesma maneira e com a devida imparcialidade, de forma a evitar que tais preferências pessoais pudessem sobrepujar os cânones da organização. Encontram-se na teoria as ferramentas necessárias e suficientes para a avaliação de investimento, entretanto, no que concerne aos roteiros para avaliação de investimento, estes são desenvolvidos pelas próprias organizações para atender às suas necessidades específicas. Nesse estudo, por meio de uma pesquisa exploratória, procurou-se conceituar projeto de investimento e avaliação de investimento, estudou-se metodologia de fluxo de caixa descontado, metodologia de precificação de capitais, as métricas tradicionais de avaliação de investimento, e os aspectos relativos ao risco, incerteza e irreversibilidade dos projetos reais. Em seguida, tendo como objetivo extrair da teoria um roteiro para avaliação de investimentos com base na metodologia de fluxo de caixa descontado, vários guias de avaliação de investimentos foram analisados, em busca de uma sistematização de procedimentos capaz de reunir as etapas essenciais de uma avaliação, de forma a assegurar que essas sejam levadas a cabo, sistematicamente. Depois, com base em um estudo de caso, o guia de avaliação de investimento resultante do estudo foi testado em um caso real previamente avaliado por uma empresa de consultoria de renome e confirmou-se que o referido guia de avaliação poderia ter sido empregado com sucesso para avaliar o caso real

The study investigates whether the main capital market theories and pricing models provide a reasonably accurate description of the working and efficiency of capital markets, of the pricing of shares and options and the effect the risk/return relationship has on investor behaviour. The capital market theories and pricing models included in the study are Portfolio Theory, the Efficient Market Hypothesis (EMH), the Capital Asset Pricing Model (CAPM), the Arbitrage Pricing Theory (APT), Options Theory and the BlackScholes (8-S) Option Pricing Model. The main conclusion of the study is that the main capital market theories and pricing models, as reviewed in the study, do provide a reasonably accurate description of reality, but a number of anomalies and controversial issues still need to be resolved. The main recommendation of the study is that research into these theories and models should continue unabated, while the specific recommendations in a South African context are the following: ( 1) the benefits of global diversification for South African investors should continue to be investigated; (2) the level and degree of efficiency of the JSE Securities Exchange SA (JSE) should continue to be monitored, and it should be established whether alternative theories to the EMH provide complementary or better descriptions of the efficiency of the South African market; (3) both the CAPM and the APT should continue to be tested, both individually and jointly, in order to better understand the pricing mechanism of, and risk/return relationship on the JSE; (4) much South African research still needs to be conducted on the efficiency of the relatively new options market and the application of the B-S Option Pricing Model under South African conditions. / Financial Accounting / M. Com. (Accounting)

Submitted by Tiago Martinez Giorgetto (tigiorgetto@uol.com.br) on 2012-05-28T13:35:54Z No. of bitstreams: 1 TMG_Dissertacao_Mestrado_Maio2012_Final.pdf: 972089 bytes, checksum: 2f6039567098db514bfb12b4ddf0896f (MD5) / Approved for entry into archive by Gisele Isaura Hannickel (gisele.hannickel@fgv.br) on 2012-05-28T15:30:44Z (GMT) No. of bitstreams: 1 TMG_Dissertacao_Mestrado_Maio2012_Final.pdf: 972089 bytes, checksum: 2f6039567098db514bfb12b4ddf0896f (MD5) / Made available in DSpace on 2012-05-28T16:44:23Z (GMT). No. of bitstreams: 1 TMG_Dissertacao_Mestrado_Maio2012_Final.pdf: 972089 bytes, checksum: 2f6039567098db514bfb12b4ddf0896f (MD5) Previous issue date: 2012-05-03 / A Teoria das opções reais tem se mostrado um instrumental relevante na fundamentação das decisões de investimento de diversos agentes na economia, especialmente no que tange a projetos de infraestrutura, pesquisa e desenvolvimento. Dado que o setor energético brasileiro possui um arcabouço institucional que possibilita que diversos agentes privados atuem no setor, a avaliação de empreendimentos de geração de energia ganha destaque, fazendo com que a aplicação desse campo de pesquisa torne-se promissor. Assim sendo, o objetivo desse estudo é avaliar a tomada de decisão em investimentos no setor elétrico brasileiro tendo como base a aplicação da Teoria das opções reais. Para esse estudo foram selecionados, como objeto de análise, as usinas eólicas e as pequenas centrais hidrelétricas. Por meio da Teoria das opções reais conclui-se que a opção de adiar a construção de um desses empreendimentos pode gerar valor para o empreendedor. Além disso, verifica-se que as pequenas centrais hidrelétricas 'dominam' a maioria dos cenários de investimento estudados quando os preços de energia estão em alta, mas caso haja perspectiva de queda de preços no mercado de energia, porém, a decisão torna-se favorável às usinas eólicas. Por fim, é possível verificar que a análise conjunta de empreendimentos de geração de energia através, por exemplo, da abordagem quadrinomial, pode trazer ganhos na avaliação de projetos de investimento no setor elétrico. / Real Options Theory has been an important instrument for investment decisions for several agents in economy, especially for infrastructure projects, research and development. Since Brazilian energy sector has an institutional framework that enables several private agents to act in this sector, the valuation of energy generation projects is highlighted. As consequence, the application of Real Options Theory becomes promising. Therefore, the objective of this study is to evaluate the decision making on investments in the Brazilian electricity sector based on the application of Real Options Theory. For this study were selected for analysis the Wind Farms and the Small Hydro Power Plants. Through Real Options Theory we concluded that the option to defer the construction of these projects can generate value for the entrepreneur. Furthermore, it appears that the Small Hydro Power Plant "dominates" the majority of investment scenarios studied when energy prices are higher but, if there is perspective for prices reduction in the energy market, however, the decision becomes favorable for Wind Farms. Finally, it is possible to verify that the “joint analysis” for projects in energy generation through, for example, quadrinomial approach can bring gains for investors in energy sector