Simulação De Monte Carlo E Valuation: Uma Abordagem Estocástica

Oliveira, Marcos Roberto Gois de; Neto, Luiz Borges de Medeiros

doi:10.5700/rege474

Cited by 3 publications

(3 citation statements)

References 5 publications

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“…The Monte Carlo simulation is one of the main tools used to perform economic risk analysis. Developed by Hertz (1979), it is an effective risk model that can be applied to cash flows, and thus measures risk for variables without controlling for behaviors (Oliveira & Medeiros Neto, 2012).…”

Section: Monte Carlo Simulationmentioning

confidence: 99%

Portfolio theory approach to plan areas for growing cotton, soybean, and corn in Mato Grosso, Brazil

Lima

Alves

2023

Rev. Econ. Sociol. Rural

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This study aims to describe how cotton farms in the state of Mato Grosso in Brazil are configured by building a model that optimizes income and risk for a combination of crops (cotton [first and second crop], soybean, and corn second crop). Two regions were defined: North and East Central Aggregate. The first region comprises the production of soybean in the summer and cotton and corn in the second harvest, while the second is restricted to the cultivation of cotton and soybean in the summer and corn in the second harvest. An optimization model was used to build a production efficiente frontier of crop combinations by analyzing the return-risk ratio. The model shows that the use of soybean crops in the summer season provides greater gains in profitability. Revenue is maximized in the area by an increase in the cotton crop during the first harvest; however, this exposes the farm to greater production risks. The use of second crops helps mitigate this production risk for farms.

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Section: Monte Carlo Simulationmentioning

confidence: 99%

Portfolio theory approach to plan areas for growing cotton, soybean, and corn in Mato Grosso, Brazil

Lima

Alves

2023

Rev. Econ. Sociol. Rural

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“…The study extrapolated the results to a 75 ha-property, which is the modal profile of the study region (Faleiros et al, 2018;Farinelli et al, 2018). The study controlled for uncertainties in price and productivity of corn and beef using the Monte Carlo simulation, considering 10,000 possibilities for each production system (Oliveira and Medeiros Neto, 2012), and the assumptions regarding the volatility of these variables (Table 1). The researchers consulted all commercial values related to costs and investments with companies in the area and compared them with market information consolidated by IEA (2019).…”

Section: Economic Analysesmentioning

confidence: 99%

The economic value of sustainability of the integrated crop-livestock system in relation to conventional systems

Simili¹,

Mendonça²,

Gameiro³

et al. 2023

Revista Brasileira De Zootecnia

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The objective of this study was to evaluate the potential of improving the economic value of integrated crop-livestock systems (ICLS) compared to conventional systems specialized in monoculture. The experimental area was 16.02 ha, divided into 18 paddocks of 0.89 ha each, organized in a randomized block design, with three replicates and six models of production systems: crop system [corn (Zea mays) grain production], livestock system (beef cattle under grazing conditions), and four ICLS, identified as: ICLS-1, corn integrated with Marandu palisadegrass [Urochloa brizantha (Hoechst. ex A. Rich.) R.D. Webster cv. Marandu (syn. Brachiaria brizantha cv. Marandu] sown simultaneously without herbicide; ICLS-2, corn and Marandu palisadegrass sown simultaneously with herbicide; ICLS-3, corn and Marandu palisadegrass with lagged sowing; and ICLS-4, corn and Marandu palisadegrass sown simultaneously, with herbicide in rows and between-rows of corn. We demonstrated the economic impact analysis combined with the risk optimization and discounted cash flow techniques based on Monte Carlo simulation, considering price and productivity uncertainties. The indicators of added value and return on investment of ICLS had an economic advantage compared with conventional systems. It was also found that ICLS needed a smaller operational area than conventional systems for the economic break-even point. Integrated systems provide lower financial and operational risk levels and greater economic value per hectare compared with conventional systems specialized in monoculture.

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“…Por exemplo, a aplicação da SMC na avaliação de projetos de investimento (Bruni, Famá & Siqueira, 1998;Yang & Tian, 2012;Amorim et al, 2018), na simulação do prêmio de uma opção de compra (Moraes et al, 2016), na avaliação de fundos de investimento (Souza, Santos & Andrade, 2017) e, nas variações nos custos de produção (Garcia, Lustosa & Barros, 2010). Além de avaliar a pertinência da utilização da Simulação de Monte Carlo na mensuração das incertezas inerentes à metodologia de avaliação de empresas pelo fluxo de caixa descontado (Oliveira & Medeiros Neto, 2012) e projeções de fluxos de caixa (Correia Neto, Moura & Forte, 2002).…”

Section: Simulação De Monte Carlounclassified

Utilização da simulação de Monte Carlo na gestão de estoques para empresas farmacêuticas

et al. 2019

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Objetivo: O objetivo do estudo é aplicar a Simulação de Monte Carlo (SMC) para o gerenciamento dos estoques em uma farmácia de pequeno porte. Metodologia: Com características de pesquisas exploratória e descritiva, a presente pesquisa utilizou-se de dados reais coletados em uma farmácia de pequeno porte, e com participação do gestor e farmacêutico. Foram selecionados 22 medicamentos considerados de alta rotatividade, para o teste de modelagem. Em seguida observou-se a demanda diária por 22 dias úteis e consecutivos, para determinação dos parâmetros do modelo a ser utilizado. Para a modelagem foi utilizado a técnica de Simulação de Monte Carlo (SMC), proposta por Corrar e Theóphilo (2004). Resultados: O modelo se mostrou aplicável e de fácil utilização por parte dos gestores. Nos exemplos de análise, do medicamento DRAMIN foi possível verificar que o aumento de estoque mínimo de 60 unidades para 100 unidades elevaria o índice de atendimento de 87% para 92,3%. Também se observou na unidade de análise que alguns medicamentos, como no caso do DORFLEX poderiam ter seus estoques reduzidos em mais de 300% que seria mantida a mesma eficiência em relação ao atendimento da demanda. Contribuições do estudo: O presente trabalho contribui com a literatura de controles gerenciais, apontando técnicas de pesquisa operacional para gerenciamento de estoques. Além disso, traz uma valiosa contribuição para pequenas empresas do setor farmacêutico, auxiliando-as na utilização do uso de ferramentas estatísticas simples para melhorar a eficiência do investimento em estoque, e consequente o desempenho financeiro.

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Simulação De Monte Carlo E Valuation: Uma Abordagem Estocástica

Cited by 3 publications

References 5 publications

Portfolio theory approach to plan areas for growing cotton, soybean, and corn in Mato Grosso, Brazil

Portfolio theory approach to plan areas for growing cotton, soybean, and corn in Mato Grosso, Brazil

The economic value of sustainability of the integrated crop-livestock system in relation to conventional systems

Utilização da simulação de Monte Carlo na gestão de estoques para empresas farmacêuticas

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