NUPEI develops research projects related to energy finance, infrastructure investments and risk analysis for private and government enterprises, allowing for the sustainable development of the society. These projects are submitted for external review of others researchers around the country and are supported by the main Brazilian research funding institutions.
Participants: Luiz Eduardo Teixeira Brandão – Coordinator.
Description: The aim of this research project is to develop methodologies and real options applications in the areas of investment in infrastructure to enable both the public and private sectors to have the appropriate tools and techniques to carry out the correct valuation of these projects and improve quality of investment decisions.
Grant from: CNPq – Conselho Nacional de Desenvolvimento Científico e Tecnológico
Research Scholarship – PQ 1D /CNPq
Participants: Marcelo Cabus Klotzle – Coordinator
Description: The objective of this project is to analyze the decision-making process under uncertainty in Brazil from the perspective of Behavioral Finance. To achieve this goal several parametric specifications of the value function and weight function in the context of the Prospectus Theory will be estimated. This will make it possible to empirically analyze if the behavior of agents across the risk is closer to the theory of expected utility or the Prospectus Theory. The second step is to develop an econometric model with the risk parameters as the dependent variable and sociodemographic variables as independent variables.
Grant from: CNPq – Conselho Nacional de Desenvolvimento Científico e Tecnológico
Reseach Scholarship – PQ2 /CNPq
Members: Marcelo Cabus Klotzle – Coordinator.
Description: This project seeks to contribute to the study of behavioral finance in Brazil, when trying to model the decision-making of individuals based on estimated parameters of the Prospectus Theory. Recent studies in behavioral finance have shown evidence that the Prospect Theory (Kahneman and Tversky, 1979) and the Prospect Theory Cumulative (Tversky and Kahneman, 1992) provide a better description of investor choices than the average model / variance of Markowitz . The Prospect Theory has been used, among others, to explain the low participation in the stock market (Barberis, Huang et al., 2006), high intensity of the negotiations in the capital market (Gomes, 2005), investors’ preferences for returns with positive asymmetric distributions (Barberis and Huang, 2008) and high risk premium and volatility of the stock market (Barberis, Huang et al., 2001).
Grant from: FAPERJ
Project FAPERJ / APQ1 Grant for basic research
Participants: Luiz Eduardo Teixeira Brandão / Claudia Soares / Rafael Igrejas / Luiz Roberto de Azevedo Cunha / Glaucia Fernandes
Description: The objective of this project is to develop a PPP for the provision of broadband services encompassing all 93 municipalities of the State of Rio de Janeiro, in a network of over 6.000 km of fiber optic cables implemented over 8 years.
Grant from: FAPERJ/RJ
Participants: Luiz Eduardo Teixeira Brandão – Coordinator.
Description: This research aims to develop applications of real options in infrastructure investments and alternative energy projects that allow the development of analytical tools to improve the quality of investment decisions from public managers or private investors.
Grant from: CNPq – Conselho Nacional de Desenvolvimento Científico e Tecnológico
Reseach Scholarship – PQ2 /CNPq
Participants: Luiz Eduardo Teixeira Brandão – Coordinator / Rafael Igrejas / Carlos Frederico V. Tarrisse da Fontoura / Glaucia Fernandes / Leonardo Cordeiro.
Description: This project aims to develop an evaluation model for a particular class of intangible assets represented by start up companies, complex industrial projects, research and development (R&D) software projects, medicinal drugs and technology which include flexibilities and qualitative benefits that could not be captured by traditional valuation methods. Besides the uncertainty about the payoffs final of this projects, there is also considerable uncertainty about the cost and time required to bring its development to its final stage, as well as the quality and performance of the product developed. The methodology of real options is presents an interesting alternative to quantitative modeling and pricing these king of projects, given the high degree of uncertainty about the investment required and the time to achieve a minimum degree of success, about the commercial results of the company or the product developed.
Grant from: CNPq – Conselho Nacional de Desenvolvimento Científico e Tecnológico
Edital UNIVERSAL/CNPq
Integrantes: Carlos de Lamare Bastian Pinto – Coordenador / Luiz de Magalhães Ozório.
Description: The need to expand the power generation grid in order to meet the projected demand growth in the country will require significant capital investment in the next decade. The main objective of this research project is to identify and model the main stochastic uncertainties present in the Brazilian renewable energy industry and to verify its applicability to valuation models under the real options approach. Different forms of single and multi factor stochastic processes, as well as its modeling by discrete processes for binomial, bivariate and trinomial trees will also be analyzed.
Grant from: FAPERJ/RJ
APQ1/FAPERJ
Participants: Luiz Eduardo Teixeira Brandão – Coordinator / Leonardo Lima Gomes / Carlos de Lamare Bastian-Pinto / André Luiz Carvalhal da Silva / Luiz Felipe Roris Rodriguez Scavarda do Carmo
Description: This project aims to develop a set of tools and methodologies that allow the brazillian government to quantify the benefits, costs and risks involved in projects where there is an interest in attracting private capital investment within the framework of a Public Private Partnership (PPP).
Grant from: FAPERJ/RJ
PRONEM – Emerging Research Groups Grant
Participants: Luiz Eduardo Teixeira Brandão – Coordenador / Leonardo Lima Gomes / Carlos de Lamare Bastian-Pinto.
Description: This study has the objective of contributing to the development of theoretical tools and to the knowledge of the stochastic processes best suited for uncertainties modeling of the Brazilian energy sector and to improve the investment decisions for both public and private companies.
Grant from: CNPq – Conselho Nacional de Desenvolvimento Científico e Tecnológico.
Edital Universal/CNPq
Participants: Leonardo Lima Gomes – Coordinator.
Description: Develop indicators of economic and financial capacity of companies participating in new energy auctions to be adopted in tender procedures.
Students involved: Masters: (2) PhD: (2).
Grant from: Instituto de Pesquisa Econômica Aplicada – IPEA DF – Scholarship.
Project IPEA/ANEEL
Participants: Carlos de Lamare Bastian Pinto / Luiz Eduardo Teixeira Brandão – Coordinator.
Description: Proposal of indexes to identify the economic-financial capacity of the companies participating in the process of granting generation and transmission services.
Students involved: Masters: (2) PhD: (2).
Grant from: Instituto de Pesquisa Econômica Aplicada – IPEA DF – Scholarship.
Project IPEA/ANEEL
Participants: Leonardo Lima Gomes – Coordinator.
Description: Review of the methodology for calculating the maximum allowed revenue for the transmission bid process.
Students involved: Masters: (2) PhD: (2).
Grant from: Instituto de Pesquisa Econômica Aplicada – IPEA DF – Scholarship.
Project IPEA/ANEEL
Participants: Luiz Eduardo Teixeira Brandão – Coordinator
Description: The aim of this research project is to develop theoretical and practical knowledge to analyze and value projects where operational flexibility and its strategic importance have a material impact on the creation of value for the shareholders of the firm, or in the case of public policies, for society in general. To do so, we mainly analyze projects in the infrastructure and biofuels fields that are vital for the growth of our country in the coming years. This study aims to overcome the limitations inherent to traditional methods of option valuation and some of its restrictive assumptions, allowing their application to a wider range of real problems faced by companies through the use of discrete real option models. These models can also be used for the analysis of the effects of public policies on corporate behavior with consequences for the optimization of government decisions
Grant from: CNPq – Conselho Nacional de Desenvolvimento Científico e Tecnológico
Reseach Scholarship – PQ2 /CNPq