Hedging na produção de açúcar e álcool: uma integração de decisões financeiras e de produção
Hedging in the ethanol and sugar production: integrating financial and production decisions
Sosnoski, Anna Andrea K. B.; Ribeiro, Celma de O.
http://dx.doi.org/10.1590/S0103-65132011005000069
Prod, vol.22, n1, p.115-123, 2012
Resumo
O risco financeiro ao qual o produtor agrícola está exposto no momento da comercialização do produto final demanda o uso de instrumentos de redução de risco, a fim de assegurar um preço que viabilize economicamente o processo produtivo. Este artigo analisa o problema de elaboração de estratégias de proteção financeira na presença de restrições de produção, através de um modelo de otimização multiperíodo determinístico. A incerteza é descrita através de árvores de cenários e o risco analisado através das abordagens clássicas de média-variância. O comportamento do modelo proposto é analisado no caso do mercado sucroalcooleiro, para a gestão financeira de usinas sucroalcooleiras, sendo as estratégias de hedging construídas com base no mercado futuro de álcool e açúcar.
Palavras-chave
Otimização. Hedging. Commodities agrícolas. Mercado sucroalcooleiro. Risco
Abstract
Agricultural producers face financial risk at the moment of final products selling. This imposes the use of instruments to reduce risks in order to assure prices and production process economic feasibility. This paper examines the problem of creating hedging strategies with production constraints and proposes a deterministic multi-period optimization model to solve it. Uncertainty was introduced in the model through scenario trees and risk was analyzed according to the traditional mean variance approach. The model was analyzed for the sugar and ethanol market in order to aid in the financial management of a sugar cane refinery.
Keywords
Optimization. Hedging. Agricultural commodities. Sugar and ethanol sector. Risk
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