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Title: Binomial real options model with dynamic programming applied to the evaluation of railway infrastructure projects in Brazil
Authors: Gartner, Ivan Ricardo
metadata.dc.identifier.orcid: https://orcid.org/0000-0002-9780-1212
Assunto:: Infraestrutura ferroviária
Modelo binomial de opções reais
Programação dinâmica
Issue Date: 13-Jun-2022
Publisher: Sociedade Brasileira de Pesquisa Operacional
Citation: GARTNER, Ivan Ricardo. Binomial real options model with dynamic programming applied to the evaluation of railway infrastructure projects in Brazil. Pesquisa Operacional, Rio de Janeiro, v. 42, e260438, 2022. DOI: https://doi.org/10.1590/0101-7438.2022.042.00260438. Disponível em: https://www.scielo.br/j/pope/a/NMtHkQbTj9HN6ppNqjfKCFB/?lang=en#. Acesso em: 02 ago. 2022.
Abstract: This paper presents a methodology for evaluating public investments in railway infrastructure based on the theory of real options, using the binomial model combined with dynamic programming procedures and Monte Carlo simulation. This modelling was proposed in order to overcome the inefficiencies in the evaluation process of projects conducted by the Brazilian public agencies, as pointed out by World Bank studies. According to these studies, there is evidence that the various managerial and regulatory instances of the Brazilian government have been limited to applying classical analysis techniques, considering only the discounted cash flow indicators, instead of paying more attention to risk issues, as well as to the possibilities of managerial flexibility. The proposed analytical procedures are recommended to support infrastructure investment decisions that can be transferred to the private sector or to guide the formation of public-private partnerships (PPPs).
Licença:: (CC BY)
DOI: https://doi.org/10.1590/0101-7438.2022.042.00260438
Appears in Collections:ADM - Artigos publicados em periódicos e manuscritos aceitos para publicação

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