Opções reais sob Incerteza Knightiana na avaliação econômica de projetos de Pesquisa e Desenvolvimento (P & D)

Luís Alberto Melchíades Leite, Leonardo Santiago, José Paulo Teixeira

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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.
Original languagePortuguese
JournalProduction
Volume25
Issue number3
Pages (from-to)641-656
Number of pages16
DOIs
Publication statusPublished - 2015

Cite this

Melchíades Leite, Luís Alberto ; Santiago, Leonardo ; Paulo Teixeira, José. / Opções reais sob Incerteza Knightiana na avaliação econômica de projetos de Pesquisa e Desenvolvimento (P & D). In: Production. 2015 ; Vol. 25, No. 3. pp. 641-656.
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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.",
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Opções reais sob Incerteza Knightiana na avaliação econômica de projetos de Pesquisa e Desenvolvimento (P & D). / Melchíades Leite, Luís Alberto; Santiago, Leonardo ; Paulo Teixeira, José.

In: Production, Vol. 25, No. 3, 2015, p. 641-656.

Research output: Contribution to journalJournal articleResearchpeer-review

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AB - 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.

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