Evaluating Energy Sector Investments: Calculating Volatility

被引:2
|
作者
Pamplona, Edson de Oliveira [1 ]
Brandao, Marina Carvalho [1 ]
Barra Montevechi, Jose Arnaldo [1 ]
de Pinho, Alexandre Ferreira [1 ]
Albuquerque, Valerio Oscar [2 ]
Rotela Junior, Paulo [1 ]
机构
[1] Univ Fed Itajuba, Inst Prod Engn & Management, BR-37500903 Itajuba, MG, Brazil
[2] Univ Fed Itajuba, Inst Elect Engn, BR-37500903 Itajuba, MG, Brazil
关键词
OPTIONS;
D O I
10.1155/2013/128309
中图分类号
T [工业技术];
学科分类号
08 ;
摘要
A major task in assessing risks of investment projects is defining the approach to calculating the project's volatility. Looking at assorted estimation techniques, this paper calculates their volatilities. The techniques originate from authors in the area and involve project-specific variables of uncertainty. These techniques are applied to a case of electricity distribution through real options. Results are then compared. The difference between the calculated volatilities was low, leaving, in the case of the project evaluated here, the decision unchanged. The paper's contribution consists of providing a detailed presentation of calculating volatility by the methods cited and by comparing the results obtained by its application.
引用
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页数:9
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