Teoria das opções reais: uma abordagem para análise de investimento em expansão do sistema elétrico

Abstract

This paper presents the application of the real options theory to the analysis of investments in the Expansion of Distribution System of Electric Power. The fundamental proposal of this methodology is to incorporate to the traditional investment appraisal the uncertainties sources of the decision making environment and managerial flexibilities associated with an investment project. The Brazilian Electrical Energy Distribution Sector is heavily regulated. Therefore, the estimated cash flow of new investments is strongly impacted by the electricity tariff revision process. The model developed in this work allows us to assess the investment opportunities by incorporating the effects associated with the tariff revision process. It is observed that one of the main difficulties found in applying the real options theory is risk factors modeling, which arise from different uncertainties sources. The sources of uncertainty modeled in this work are those associated with the evolution of the consumer market, the average electricity tariff, the rate of return allowed by the regulator and the investment amount that is allowed to be included in the utility remuneration. The Monte Carlo simulation allows us to integrate the effects of these uncertainties in the estimation of project volatility. The applicability of the real options approach is illustrated in the context of a utility power distribution in the Southeastern Region of Brazil.