Momento ótimo para investir em projetos de mineração: uma análise por opções reais e teoria dos jogos

Abstract

In this work we propose a dynamic mathematical model to support decision making under uncertainty and competition environments. We admit the situation in which two mining companies must decide what the ideal time to expand the flow capacity of the production of iron ore, a product whose demand is uncertain. The investment cost is high and irreversible. Moreover, due to competition between companies, the decision by one of them affects not only your profit but also the profit of their rival. One of the companies is the market leader and, therefore, first decide whether or not to invest in the project. The other, the follower, after observing the decision of the leader, decide what to do. The problem is modeled by combining the concepts of Real Options and Game Theory. A dynamic programming procedure is developed to evaluate the value of the project for both companies in each moment of decision, thus allowing certain strategies that are conducive to maximizing the value of the project. In particular, we investigate the effects of the initial demand for iron ore, the investment cost, the volatility of demand and competitive advantage of the leader on the value of the investment project. The results show that, unlike what suggested by the Standard Model of Real Options, the value of the project does not grow monotonically with the increase of initial demand, with the reduction of investment costs or increased volatility, which can be attributed to competition between firms. Moreover, we observe that the reduction of competitive advantage in anticipation of the leader implies the realization of the investment by the follower, so that the value of the project leader may in some cases not be greater than the value of the project follower.