Thermal Power Revamp Portfolio Valuation in Brazil: a Fuzzy-Real Options Approach

In Brazil, Energy Market players dedicate many efforts in valuation and optimal allocation of capital decision to implement projects, due the large candidate projects number in their investment portfolios. The strategic decisions of those players should choose the projects subset that will be implemented, because usually, they don ́t have the financial resources to implement all then. Many are the risks presented, and greater are uncertainties, greater become the difficulties to value these investment decisions optimally. Complex problems and possible changes in economic and business scenarios can make it even harder. Classical investment portfolio valuation and optimization is based on the maximizing returns (NPV, IRR) and minimizing risks (NPV standard deviation, variance) concepts. But often, traditional methods of assessment may not be able to properly handle the projects managerial flexibilities (Real Options) and meet the great need for prediction for the management of risks and uncertainties due to possible intrinsic difficulties solution and mathematical modeling (multi-variable) problems. Thus, there is an ample room to alternative models ́ development and implementation models, such as those based on Real Options Theory, including the use of Computational Intelligence methods. In this work is proposed a Fuzzy Real Options valuation to candidate projects, in a Thermal Power Generation market player, considering managerial flexibilities in uncertain environment. To project portfolio selection is provided the application of a Genetic Algorithm Optimization.