Resumo:
The "Portfolio Theory" has been largely employed on stock markets, aiming to
improve the relation between risk and return. This theory identifies many possible
investment combinations once it's associated with the idea that increasing investment
diversification can lower risk. The objective is, thus identify the portfolio that offers the
most efficient diversification of capital.
The reforms on the energy sector in Brazil have made investments on both
generation and commercialization of electric energy easier for medium sized investors.
There have been economic incentives to the exploration of wind and bio-mass energy, and
to the construction of small hydro-electric power plants (in Portuguese, PCH), as well as
many legal and regulatory mechanisms pursuing the maintenance of elevate rates of
participation of renewable source in the production of electrical energy in Brazil. Between
these options, the PCH are a specially good opportunity taking account of its minimum
environment impact, low operational costs and total technologic control.
The decision concerning investment options has been based on standard economic
analysis like "Net Present Value", "Payback Time" or "Cost/Benefit Relations". Other
techniques such as scenario and sensitivity have been incorporated and, more recently,
there has been a search for other methods consider the uncertainty of happenings within the
horizon of study.
This dissertation will analyse six possibilities of PCH with standard techniques. Of
them, the four possibilities considered viable will constitute our examples for the
application of Portfolio Theory techniques. Once the active portfolio is determined, the
best option is identified using the “mean-variance efficient” developed by Markowitz,
concluding that the theory can give better support to the decision-making in future
enterprises on the electric sector.
After considering the optimal return/risk combinations, there was a change on the
hierarchy concerning the best options between the four possibilities. When confronted with
other correlation coefficients (statistical measures of how two return move together), huge
influence on the results were observed again. Therefore, the necessity of risk and
uncertainty analysis, and option for diversified portfolios is confirmed, however, this
doesn't mean that standard economics methods should be abandoned.