Teoria do portfólio aplicada a pequenas centrais hidrelétricas

Abstract

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.