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https://prod.org.br/article/doi/10.1590/0103-6513.009611
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Opções reais sob Incerteza Knightiana na avaliação econômica de projetos de Pesquisa e Desenvolvimento (P&D)

Real Options under Knightian Uncertainty for Economic Evaluation of Research and Development (R&D) Projects

Leite, Luís Alberto Melchíades; Santiago, Leonardo Pereira; Teixeira, José Paulo

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Resumo

Este trabalho incorpora tratamento quantitativo da incerteza, no sentido da definição clássica de Frank Knight (1921), a um modelo de avaliação econômica baseado em Opções Reais, analisando suas consequências. O conceito knightiano distingue incerteza de risco. Decisões ótimas indicadas pelo Modelo de Opções Reais, uma vez não seguidas pelos decisores, tornam-se escolhas subótimas, sugerindo a presença de elementos de Incerteza Knightiana no ambiente decisório. Decisões subótimas contrariam a regra básica do VPL e, sendo o decisor racional por premissa, existe uma espécie de VPL ex post que se harmoniza à escolha, adequando-se à regra decisória e determinando quantitativamente um grau de aversão à incerteza no decisor. Introduzindo-se no modelo o Valor Esperado de Choquet e um parâmetro representando aversão à incerteza, sob o conceito de probabilidades não aditivas, obtêm-se aproximações de VPLs pós-decisão e graus de aversão à incerteza revelados. A formulação proposta é aplicada em avaliação de projeto de P&D.

Palavras-chave

Decisão sob incerteza. Opções Reais em P&D. Avaliação econômica de projetos. P&D incremental. Incerteza Knightiana.

Abstract

This article presents a quantitative treatment of uncertainty, in the classical sense of Frank Knight (1921), in an economic assessment model that is based on Real Options Theory. The Knightian concept draws a distinction between uncertainty and risk. Optimal decisions in real options models, once discarded by the decision makers, become suboptimal choices, suggesting the presence of Knightian Uncertainty elements in the decision environment. Suboptimal decisions contradict the basic NPV rule, as the decision makers are rational by assumption. This results in a so-called “ex-post NPV” that harmonizes with that choice, according to the decision rule, by quantitatively determining a degree of uncertainty aversion. By adopting the Choquet Expected Value and a parameter representing uncertainty aversion, and by using the concept of non-additive probabilities, we obtain approximations of “post- decision NPVs” and determine the degrees of uncertainty aversion. The proposed formulation is used to evaluate an R&D project.

Keywords

Decision under uncertainty. Real Options in R&D. Economic evaluation of R&D projects. R&D incremental. Knightian Uncertainty.

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