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Avalição de Investimentos
Adriano Leal Bruni (albruni@minhasaulas.com.br)


Respostas do livro
Capítulo 12


www.MinhasAulas.com.br
A2


Incerteza




                                                                    Cte de Hurwicz          0.55
                                1               2                 3               4            5
                   Resultados possíveis (desejáveis = positivo, indesejáveis = negativo)
      Alternativas
                        FAV            NEU             DESF                R4            R5
    1     Luxo           80              65              15
    2     Sup            90              40              20
    3     Conf           65              55              25
    4
    5    Õmega
    6                    A1              A2              A3                A4            A5
        Probab          30%            20%              50%
      Ok! Soma = 100%

      Resultados sob incerteza
         Maximax       Err:502           Laplace           Luxo
          Maximin      Err:502           Savage           Err:502
          Hurwicz      Err:502

      Resultados sob risco
        Alternativa      Luxo         Sup                Conf              0        Õmega
              E(X)       44.5          45                 43               0           0
      Maior valor                      45          Melhor escolha                    Sup
      Valor com inf perfeita         Err:502       Valor da inf perfeita            Err:502




                                               Página 2
A2




                                                   Arrependimentos de Savage
          Máximo    Mínimo    Hurwicz    Laplace
 Luxo       80        15       50.75      53.33       Luxo
  Sup       90        20        58.5       50         Sup
 Conf       65        25         47       48.33       Conf
    0     Err:502   Err:502   Err:502                  0
Õmega     Err:502   Err:502   Err:502                Õmega

Máximo    Err:502   Err:502   Err:502     53.33
          Err:502   Err:502   Err:502       1
Cenário   Err:502   Err:502   Err:502     Luxo




                              Página 3
A2




Arrependimentos de Savage
               FAV          NEU   DESF   R4              R5   Máximo    Mín Max
                10            0    10                           10      Err:502
                 0           25     5                           25      Err:502
                25           10     0                           25      Err:502
                                                              Err:502   Err:502
                                                              Err:502   Err:502
                                                              Melhor    Err:502




                                              Página 4
A2




          Anternativa   E(X)              Cenário           FAV
Err:502      Luxo       44.5              Maior valor        90
Err:502      Sup         45               Prob              30%
             Conf        43               Maior.Prob         27
Err:502        0          0               Valor com informação perfeita
Err:502     Õmega         0               Valor sem informação perfeita
           Máximo        45               Valor da informação perfeita
            Melhor      Sup




                               Página 5
A2




                 NEU   DESF      R4        R5
                  65     25    Err:502   Err:502
                 20%   50%       0%        0%
                  13    12.5   Err:502   Err:502
mação perfeita                              Err:502
mação perfeita                                   45
ação perfeita                               Err:502




                                              Página 6
A3


Incerteza




                                                                    Cte de Hurwicz               0.60
                                1               2                 3               4                 5
                   Resultados possíveis (desejáveis = positivo, indesejáveis = negativo)
      Alternativas
                          50             80             100               130              150
    1      50             40             40              40                40              40
    2     100             20             56              80                80              80
    3     200            -20             16              40                76              100
    4
    5
    6                    A1              A2              A3                A4              A5
        Probab          30%            20%              50%
      Ok! Soma = 100%

      Resultados sob incerteza
         Maximax       Err:502             Laplace         100
          Maximin      Err:502             Savage         Err:502
          Hurwicz      Err:502

      Resultados sob risco
         Alternativa      50            100                200               0              0
               E(X)       40            57.2               17.2              0              0
      Maior valor                       57.2         Melhor escolha                        100
      Valor com inf perfeita            63.2         Valor da inf perfeita                  6




                                               Página 7
A3




                                                   Arrependimentos de Savage
          Máximo    Mínimo    Hurwicz    Laplace
    50      40         40       40          40          50
   100      80         20       56         63.2        100
   200     100        -20       52         42.4        200
     0    Err:502   Err:502   Err:502                   0
     0    Err:502   Err:502   Err:502                   0

Máximo    Err:502   Err:502   Err:502     63.2
          Err:502   Err:502   Err:502      2
Cenário   Err:502   Err:502   Err:502     100




                              Página 8
A3




Arrependimentos de Savage
                50          80   100   130              150   Máximo    Mín Max
                 0          16   40    40                60     60      Err:502
                20           0    0     0                20     20      Err:502
                60          40   40     4                0      60      Err:502
                                                              Err:502   Err:502
                                                              Err:502   Err:502
                                                              Melhor    Err:502




                                             Página 9
A3




          Anternativa   E(X)               Cenário            50
Err:502       50         40                Maior valor        40
Err:502      100        57.2               Prob              30%
             200        17.2               Maior.Prob         12
Err:502        0          0                Valor com informação perfeita
Err:502        0          0                Valor sem informação perfeita
           Máximo       57.2               Valor da informação perfeita
            Melhor      100




                               Página 10
A3




                  80    100   130   150
                  56     80   80    100
                 20%    50%   0%    0%
                 11.2    40    0     0
mação perfeita                            63.2
mação perfeita                            57.2
ação perfeita                                6




                                      Página 11
A4


Incerteza




                                                                    Cte de Hurwicz          0.70
                                1               2                 3               4            5
                   Resultados possíveis (desejáveis = positivo, indesejáveis = negativo)
      Alternativas
                        100             200             300               500
    1     400          24000           54000           84000            114000
    2     300          25000           55000           85000             85000
    3     200          26000           56000           56000             56000
    4
    5
    6                    A1              A2              A3                A4            A5
        Probab          30%             20%             50%
      Ok! Soma = 100%

      Resultados sob incerteza
         Maximax       Err:502           Laplace        400
          Maximin      Err:502           Savage        Err:502
          Hurwicz      Err:502

      Resultados sob risco
         Alternativa     400           300               200               0           0
               E(X)     60000        61000              47000              0           0
      Maior valor                    61000         Melhor escolha                     300
      Valor com inf perfeita         Err:502       Valor da inf perfeita            Err:502




                                               Página 12
A4




                                                    Arrependimentos de Savage
          Máximo    Mínimo    Hurwicz     Laplace
   400    114000    24000      87000       69000        400
   300     85000    25000      67000       62500        300
   200     56000    26000      47000       48500        200
     0    Err:502   Err:502   Err:502                    0
     0    Err:502   Err:502   Err:502                    0

Máximo    Err:502   Err:502   Err:502     69000
          Err:502   Err:502   Err:502       1
Cenário   Err:502   Err:502   Err:502      400




                              Página 13
A4




Arrependimentos de Savage
                100          200    300     500           0   Máximo    Mín Max
               2000         2000   1000      0                 2000     Err:502
               1000         1000     0     29000               29000    Err:502
                 0            0    29000   58000               58000    Err:502
                                                              Err:502   Err:502
                                                              Err:502   Err:502
                                                              Melhor    Err:502




                                              Página 14
A4




          Anternativa    E(X)               Cenário            100
Err:502      400        60000               Maior valor      26000
Err:502      300        61000               Prob              30%
             200        47000               Maior.Prob        7800
Err:502        0          0                 Valor com informação perfeita
Err:502        0          0                 Valor sem informação perfeita
           Máximo       61000               Valor da informação perfeita
            Melhor       300




                                Página 15
A4




                  200     300      500       0
                 56000   85000   114000   Err:502
                  20%     50%      0%       0%
                 11200   42500      0     Err:502
mação perfeita                               Err:502
mação perfeita                                 61000
ação perfeita                                Err:502




                                              Página 16
Ano            0                1              2                3               4
Crec        3% Rec                         1,500,000.00    1,545,000.00    1,591,350.00    1,639,090.50
           36% (-) GV                       (540,000.00)    (556,200.00)    (572,886.00)    (590,072.58)
       -250000 (-) GF                       (250,000.00)    (250,000.00)    (250,000.00)    (250,000.00)
       -300000 (-) Dep                      (300,000.00)    (300,000.00)    (300,000.00)    (300,000.00)
                LAIR                         410,000.00      438,800.00      468,464.00      499,017.92
            0.3 (-) IR               -      (123,000.00)    (131,640.00)    (140,539.20)    (149,705.38)
                LL                           287,000.00      307,160.00      327,924.80      349,312.54
                (+) Dep                      300,000.00      300,000.00      300,000.00      300,000.00
                FCO                          587,000.00      607,160.00      627,924.80      649,312.54
                Inv Fix   (2,000,000.00)
                Inv CDG
                FCL       (2,000,000.00)     587,000.00     607,160.00      627,924.80      649,312.54

               TMA                 17% VPL                  218,073.55



                            218,073.55         1350000         1500000         1650000
                                   17%          Err:504         Err:504         Err:504
                                   20%          Err:504         Err:504         Err:504
                                   25%          Err:504         Err:504         Err:504
5
1,688,263.22
 (607,774.76)
 (250,000.00)
 (300,000.00)
  530,488.46
 (159,146.54)
  371,341.92
  300,000.00
  671,341.92
  500,000.00

1,171,341.92
Ano            0                1              2                3               4
Crec        1% Rec                         1,500,000.00    1,515,000.00    1,530,150.00    1,545,451.50
           36% (-) GV                       (540,000.00)    (545,400.00)    (550,854.00)    (556,362.54)
       -250000 (-) GF                       (250,000.00)    (250,000.00)    (250,000.00)    (250,000.00)
       -300000 (-) Dep                      (300,000.00)    (300,000.00)    (300,000.00)    (300,000.00)
                LAIR                         410,000.00      419,600.00      429,296.00      439,088.96
            0.3 (-) IR               -      (123,000.00)    (125,880.00)    (128,788.80)    (131,726.69)
                LL                           287,000.00      293,720.00      300,507.20      307,362.27
                (+) Dep                      300,000.00      300,000.00      300,000.00      300,000.00
                FCO                          587,000.00      593,720.00      600,507.20      607,362.27
                Inv Fix   (2,000,000.00)
                Inv CDG
                FCL       (2,000,000.00)     587,000.00     593,720.00      600,507.20      607,362.27

               TMA                 17% VPL                  142,726.05



                            142,726.05         1350000         1500000         1650000
                                   17%          Err:504         Err:504         Err:504
                                   20%          Err:504         Err:504         Err:504
                                   25%          Err:504         Err:504         Err:504
5
1,560,906.02
 (561,926.17)
 (250,000.00)
 (300,000.00)
  448,979.85
 (134,693.95)
  314,285.89
  300,000.00
  614,285.89
  500,000.00

1,114,285.89
Ano            0                1              2                3               4
Crec        5% Rec                         1,500,000.00    1,575,000.00    1,653,750.00    1,736,437.50
           36% (-) GV                       (540,000.00)    (567,000.00)    (595,350.00)    (625,117.50)
       -250000 (-) GF                       (250,000.00)    (250,000.00)    (250,000.00)    (250,000.00)
       -300000 (-) Dep                      (300,000.00)    (300,000.00)    (300,000.00)    (300,000.00)
                LAIR                         410,000.00      458,000.00      508,400.00      561,320.00
            0.3 (-) IR               -      (123,000.00)    (137,400.00)    (152,520.00)    (168,396.00)
                LL                           287,000.00      320,600.00      355,880.00      392,924.00
                (+) Dep                      300,000.00      300,000.00      300,000.00      300,000.00
                FCO                          587,000.00      620,600.00      655,880.00      692,924.00
                Inv Fix   (2,000,000.00)
                Inv CDG
                FCL       (2,000,000.00)     587,000.00     620,600.00      655,880.00      692,924.00

               TMA                 17% VPL                  296,204.13



                            296,204.13         1350000         1500000         1650000
                                   17%          Err:504         Err:504         Err:504
                                   20%          Err:504         Err:504         Err:504
                                   25%          Err:504         Err:504         Err:504
5
1,823,259.38
 (656,373.38)
 (250,000.00)
 (300,000.00)
  616,886.00
 (185,065.80)
  431,820.20
  300,000.00
  731,820.20
  500,000.00

1,231,820.20
Ano              0                1            2              3             4
       Rec                             28,000.00     28,000.00     28,000.00     28,000.00
    0% (-) GV                                  -             -             -             -
-10000 (-) GF                         (10,000.00)   (10,000.00)   (10,000.00)   (10,000.00)
 -9000 (-) Dep                         (9,000.00)    (9,000.00)    (9,000.00)    (9,000.00)
       LAIR                             9,000.00      9,000.00      9,000.00      9,000.00
       (-) IR                 -                -             -             -             -
       LL                               9,000.00      9,000.00      9,000.00      9,000.00
       (+) Dep                          9,000.00      9,000.00      9,000.00      9,000.00
       FCO                             18,000.00     18,000.00     18,000.00     18,000.00
       Inv Fix       (90,000.00)
       Inv CDG
       FCL           (90,000.00)      18,000.00     18,000.00     18,000.00     18,000.00

      TMA                   15% VPL                    337.84


      [B4] Análise de senbiblidade
                          337.84          26000         28000         30000
                              12%        Err:504       Err:504       Err:504
                              15%        Err:504       Err:504       Err:504
                              18%        Err:504       Err:504       Err:504
5             6             7             8             9             10
 28,000.00     28,000.00     28,000.00     28,000.00     28,000.00     28,000.00
         -             -             -             -             -             -
(10,000.00)   (10,000.00)   (10,000.00)   (10,000.00)   (10,000.00)   (10,000.00)
 (9,000.00)    (9,000.00)    (9,000.00)    (9,000.00)    (9,000.00)    (9,000.00)
  9,000.00      9,000.00      9,000.00      9,000.00      9,000.00      9,000.00
         -             -             -             -             -             -
  9,000.00      9,000.00      9,000.00      9,000.00      9,000.00      9,000.00
  9,000.00      9,000.00      9,000.00      9,000.00      9,000.00      9,000.00
 18,000.00     18,000.00     18,000.00     18,000.00     18,000.00     18,000.00
                                                                               -

18,000.00     18,000.00     18,000.00     18,000.00     18,000.00     18,000.00
Tornado




        Parâmetro               Pior            Melhor
         Receita            (9,699.70)      10,375.37
      Custo de capital      (9,106.45)      11,704.01




      Custo de capital                     (9,106.45)         11,704.01




              Receita                     (9,699.70)         10,375.37


                  (20,000.00)     (10,000.00)            -          10,000.00   20,000.00
Avalin resp cap12
Cálculos auxiliares



    Custos Fixos
        70
        90
        120



    Custos Fixos
-       70
-       90
-       120



    Custos Fixos
        70
        90
        120
Cálculos auxiliares

                         K=        10%
                Custos variáveis
            30%      40%         60%
             857.49   554.22    (52.30)
             781.67   478.41   (128.12)
             667.95   364.68   (241.84)

                         K=        15%
                Custos variáveis
            30%      40%         60%
             642.56   374.38   (161.96)
             575.51   307.34   (229.00)
             474.95   206.78   (329.57)

                         K=        20%
                Custos variáveis
            30%      40%         60%
             465.40   226.15   (252.35)
             405.59   166.34   (312.16)
             315.87    76.62   (401.88)
Ano              0                 1              2               3            4
        Rec                              450,000.00     450,000.00     450,000.00   450,000.00
    40% (-) GV                          (180,000.00)   (180,000.00)   (180,000.00) (180,000.00)
-120000 (-) GF                          (120,000.00)   (120,000.00)   (120,000.00) (120,000.00)
        (-) Dep                                   -              -              -            -
        LAIR                             150,000.00     150,000.00     150,000.00   150,000.00
        (-) IR                 -                  -              -              -            -
        LL                               150,000.00     150,000.00     150,000.00   150,000.00
        (+) Dep                                   -              -              -            -
        FCO                              150,000.00     150,000.00     150,000.00   150,000.00
        Inv Fix      (500,000.00)
        Inv CDG
        FCL          (500,000.00)       150,000.00     150,000.00     150,000.00    150,000.00

       TMA                     8% VPL                    98,906.51


       [B4] Análise de senbiblidade
                        98,906.51          -100000        -120000        -140000
                               30%      358,432.66     278,578.46     198,724.26
                               40%      178,760.71      98,906.51      19,052.30
                               45%       88,924.73       9,070.53     (70,783.67)
5
 450,000.00
(180,000.00)
(120,000.00)
          -
 150,000.00
          -
 150,000.00
          -
 150,000.00


150,000.00
Ano              0                1              2               3            4
        Rec                             450,000.00     450,000.00     450,000.00   450,000.00
    40% (-) GV                         (180,000.00)   (180,000.00)   (180,000.00) (180,000.00)
-120000 (-) GF                         (120,000.00)   (120,000.00)   (120,000.00) (120,000.00)
        (-) Dep                                  -              -              -            -
        LAIR                            150,000.00     150,000.00     150,000.00   150,000.00
        (-) IR                 -                 -              -              -            -
        LL                              150,000.00     150,000.00     150,000.00   150,000.00
        (+) Dep                                  -              -              -            -
        FCO                             150,000.00     150,000.00     150,000.00   150,000.00
        Inv Fix      (500,000.00)
        Inv CDG
        FCL          (500,000.00)      150,000.00     150,000.00     150,000.00     150,000.00

       TMA                   12% VPL                    40,716.43


       [B4] Análise de senbiblidade
                        40,716.43         -100000        -120000         -140000
                               30%     275,026.88     202,931.36      130,835.84
                               40%     112,811.95      40,716.43      (31,379.09)
                               45%      31,704.49     (40,391.03)    (112,486.56)
5
 450,000.00
(180,000.00)
(120,000.00)
          -
 150,000.00
          -
 150,000.00
          -
 150,000.00


150,000.00
Ano              0                1              2               3            4
        Rec                             450,000.00     450,000.00     450,000.00   450,000.00
    40% (-) GV                         (180,000.00)   (180,000.00)   (180,000.00) (180,000.00)
-120000 (-) GF                         (120,000.00)   (120,000.00)   (120,000.00) (120,000.00)
        (-) Dep                                  -              -              -            -
        LAIR                            150,000.00     150,000.00     150,000.00   150,000.00
        (-) IR                 -                 -              -              -            -
        LL                              150,000.00     150,000.00     150,000.00   150,000.00
        (+) Dep                                  -              -              -            -
        FCO                             150,000.00     150,000.00     150,000.00   150,000.00
        Inv Fix      (500,000.00)
        Inv CDG
        FCL          (500,000.00)      150,000.00     150,000.00     150,000.00     150,000.00

       TMA                   18% VPL                   (30,924.35)


       [B4] Análise de senbiblidade
                        (30,924.35)       -100000         -120000        -140000
                               30%     172,341.77      109,798.35      47,254.93
                               40%      31,619.07      (30,924.35)    (93,467.77)
                               45%     (38,742.27)    (101,285.69)   (163,829.12)
5
 450,000.00
(180,000.00)
(120,000.00)
          -
 150,000.00
          -
 150,000.00
          -
 150,000.00


150,000.00
Tornado




       Parâmetro              Pior             Melhor
     Custos variáveis        (40.39)           202.93
      Custos fixos           (31.38)           112.81
     Custo de capital        (30.92)            98.91



      Custo de capital               (30.92)    98.91




          Custos fixos               (31.38)     112.81




      Custos variáveis           (40.39)                  202.93


                   (100.00) (50.00)       -      50.00    100.00   150.00   200.00   250.00
Avalin resp cap12
Cálculos auxiliares



    Custos Fixos
        70
        90
        120



    Custos Fixos
-       70
-       90
-       120



    Custos Fixos
        70
        90
        120
Cálculos auxiliares

                         K=        10%
                Custos variáveis
            30%      40%         60%
             857.49   554.22    (52.30)
             781.67   478.41   (128.12)
             667.95   364.68   (241.84)

                         K=        15%
                Custos variáveis
            30%      40%         60%
             642.56   374.38   (161.96)
             575.51   307.34   (229.00)
             474.95   206.78   (329.57)

                         K=        20%
                Custos variáveis
            30%      40%         60%
             465.40   226.15   (252.35)
             405.59   166.34   (312.16)
             315.87    76.62   (401.88)
Solução completa nas respostas do livro
Soma
  $       1     2      5    10     50
 Q       10     5      2     2      1     20
Prob     0.5   0.25   0.1   0.1   0.05

$.Prob   0.5   0.5    0.5   1     2.5     5
Resultado $           Prob        E(X)
Reforma   Certo       50,000.00      100%     50,000.00

Nova      Fav        100,000.00      70%     70,000.00
          Desf       (20,000.00)     30%     (6,000.00)
                                             64,000.00

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Avalin resp cap12

  • 1. Avalição de Investimentos Adriano Leal Bruni (albruni@minhasaulas.com.br) Respostas do livro Capítulo 12 www.MinhasAulas.com.br
  • 2. A2 Incerteza Cte de Hurwicz 0.55 1 2 3 4 5 Resultados possíveis (desejáveis = positivo, indesejáveis = negativo) Alternativas FAV NEU DESF R4 R5 1 Luxo 80 65 15 2 Sup 90 40 20 3 Conf 65 55 25 4 5 Õmega 6 A1 A2 A3 A4 A5 Probab 30% 20% 50% Ok! Soma = 100% Resultados sob incerteza Maximax Err:502 Laplace Luxo Maximin Err:502 Savage Err:502 Hurwicz Err:502 Resultados sob risco Alternativa Luxo Sup Conf 0 Õmega E(X) 44.5 45 43 0 0 Maior valor 45 Melhor escolha Sup Valor com inf perfeita Err:502 Valor da inf perfeita Err:502 Página 2
  • 3. A2 Arrependimentos de Savage Máximo Mínimo Hurwicz Laplace Luxo 80 15 50.75 53.33 Luxo Sup 90 20 58.5 50 Sup Conf 65 25 47 48.33 Conf 0 Err:502 Err:502 Err:502 0 Õmega Err:502 Err:502 Err:502 Õmega Máximo Err:502 Err:502 Err:502 53.33 Err:502 Err:502 Err:502 1 Cenário Err:502 Err:502 Err:502 Luxo Página 3
  • 4. A2 Arrependimentos de Savage FAV NEU DESF R4 R5 Máximo Mín Max 10 0 10 10 Err:502 0 25 5 25 Err:502 25 10 0 25 Err:502 Err:502 Err:502 Err:502 Err:502 Melhor Err:502 Página 4
  • 5. A2 Anternativa E(X) Cenário FAV Err:502 Luxo 44.5 Maior valor 90 Err:502 Sup 45 Prob 30% Conf 43 Maior.Prob 27 Err:502 0 0 Valor com informação perfeita Err:502 Õmega 0 Valor sem informação perfeita Máximo 45 Valor da informação perfeita Melhor Sup Página 5
  • 6. A2 NEU DESF R4 R5 65 25 Err:502 Err:502 20% 50% 0% 0% 13 12.5 Err:502 Err:502 mação perfeita Err:502 mação perfeita 45 ação perfeita Err:502 Página 6
  • 7. A3 Incerteza Cte de Hurwicz 0.60 1 2 3 4 5 Resultados possíveis (desejáveis = positivo, indesejáveis = negativo) Alternativas 50 80 100 130 150 1 50 40 40 40 40 40 2 100 20 56 80 80 80 3 200 -20 16 40 76 100 4 5 6 A1 A2 A3 A4 A5 Probab 30% 20% 50% Ok! Soma = 100% Resultados sob incerteza Maximax Err:502 Laplace 100 Maximin Err:502 Savage Err:502 Hurwicz Err:502 Resultados sob risco Alternativa 50 100 200 0 0 E(X) 40 57.2 17.2 0 0 Maior valor 57.2 Melhor escolha 100 Valor com inf perfeita 63.2 Valor da inf perfeita 6 Página 7
  • 8. A3 Arrependimentos de Savage Máximo Mínimo Hurwicz Laplace 50 40 40 40 40 50 100 80 20 56 63.2 100 200 100 -20 52 42.4 200 0 Err:502 Err:502 Err:502 0 0 Err:502 Err:502 Err:502 0 Máximo Err:502 Err:502 Err:502 63.2 Err:502 Err:502 Err:502 2 Cenário Err:502 Err:502 Err:502 100 Página 8
  • 9. A3 Arrependimentos de Savage 50 80 100 130 150 Máximo Mín Max 0 16 40 40 60 60 Err:502 20 0 0 0 20 20 Err:502 60 40 40 4 0 60 Err:502 Err:502 Err:502 Err:502 Err:502 Melhor Err:502 Página 9
  • 10. A3 Anternativa E(X) Cenário 50 Err:502 50 40 Maior valor 40 Err:502 100 57.2 Prob 30% 200 17.2 Maior.Prob 12 Err:502 0 0 Valor com informação perfeita Err:502 0 0 Valor sem informação perfeita Máximo 57.2 Valor da informação perfeita Melhor 100 Página 10
  • 11. A3 80 100 130 150 56 80 80 100 20% 50% 0% 0% 11.2 40 0 0 mação perfeita 63.2 mação perfeita 57.2 ação perfeita 6 Página 11
  • 12. A4 Incerteza Cte de Hurwicz 0.70 1 2 3 4 5 Resultados possíveis (desejáveis = positivo, indesejáveis = negativo) Alternativas 100 200 300 500 1 400 24000 54000 84000 114000 2 300 25000 55000 85000 85000 3 200 26000 56000 56000 56000 4 5 6 A1 A2 A3 A4 A5 Probab 30% 20% 50% Ok! Soma = 100% Resultados sob incerteza Maximax Err:502 Laplace 400 Maximin Err:502 Savage Err:502 Hurwicz Err:502 Resultados sob risco Alternativa 400 300 200 0 0 E(X) 60000 61000 47000 0 0 Maior valor 61000 Melhor escolha 300 Valor com inf perfeita Err:502 Valor da inf perfeita Err:502 Página 12
  • 13. A4 Arrependimentos de Savage Máximo Mínimo Hurwicz Laplace 400 114000 24000 87000 69000 400 300 85000 25000 67000 62500 300 200 56000 26000 47000 48500 200 0 Err:502 Err:502 Err:502 0 0 Err:502 Err:502 Err:502 0 Máximo Err:502 Err:502 Err:502 69000 Err:502 Err:502 Err:502 1 Cenário Err:502 Err:502 Err:502 400 Página 13
  • 14. A4 Arrependimentos de Savage 100 200 300 500 0 Máximo Mín Max 2000 2000 1000 0 2000 Err:502 1000 1000 0 29000 29000 Err:502 0 0 29000 58000 58000 Err:502 Err:502 Err:502 Err:502 Err:502 Melhor Err:502 Página 14
  • 15. A4 Anternativa E(X) Cenário 100 Err:502 400 60000 Maior valor 26000 Err:502 300 61000 Prob 30% 200 47000 Maior.Prob 7800 Err:502 0 0 Valor com informação perfeita Err:502 0 0 Valor sem informação perfeita Máximo 61000 Valor da informação perfeita Melhor 300 Página 15
  • 16. A4 200 300 500 0 56000 85000 114000 Err:502 20% 50% 0% 0% 11200 42500 0 Err:502 mação perfeita Err:502 mação perfeita 61000 ação perfeita Err:502 Página 16
  • 17. Ano 0 1 2 3 4 Crec 3% Rec 1,500,000.00 1,545,000.00 1,591,350.00 1,639,090.50 36% (-) GV (540,000.00) (556,200.00) (572,886.00) (590,072.58) -250000 (-) GF (250,000.00) (250,000.00) (250,000.00) (250,000.00) -300000 (-) Dep (300,000.00) (300,000.00) (300,000.00) (300,000.00) LAIR 410,000.00 438,800.00 468,464.00 499,017.92 0.3 (-) IR - (123,000.00) (131,640.00) (140,539.20) (149,705.38) LL 287,000.00 307,160.00 327,924.80 349,312.54 (+) Dep 300,000.00 300,000.00 300,000.00 300,000.00 FCO 587,000.00 607,160.00 627,924.80 649,312.54 Inv Fix (2,000,000.00) Inv CDG FCL (2,000,000.00) 587,000.00 607,160.00 627,924.80 649,312.54 TMA 17% VPL 218,073.55 218,073.55 1350000 1500000 1650000 17% Err:504 Err:504 Err:504 20% Err:504 Err:504 Err:504 25% Err:504 Err:504 Err:504
  • 18. 5 1,688,263.22 (607,774.76) (250,000.00) (300,000.00) 530,488.46 (159,146.54) 371,341.92 300,000.00 671,341.92 500,000.00 1,171,341.92
  • 19. Ano 0 1 2 3 4 Crec 1% Rec 1,500,000.00 1,515,000.00 1,530,150.00 1,545,451.50 36% (-) GV (540,000.00) (545,400.00) (550,854.00) (556,362.54) -250000 (-) GF (250,000.00) (250,000.00) (250,000.00) (250,000.00) -300000 (-) Dep (300,000.00) (300,000.00) (300,000.00) (300,000.00) LAIR 410,000.00 419,600.00 429,296.00 439,088.96 0.3 (-) IR - (123,000.00) (125,880.00) (128,788.80) (131,726.69) LL 287,000.00 293,720.00 300,507.20 307,362.27 (+) Dep 300,000.00 300,000.00 300,000.00 300,000.00 FCO 587,000.00 593,720.00 600,507.20 607,362.27 Inv Fix (2,000,000.00) Inv CDG FCL (2,000,000.00) 587,000.00 593,720.00 600,507.20 607,362.27 TMA 17% VPL 142,726.05 142,726.05 1350000 1500000 1650000 17% Err:504 Err:504 Err:504 20% Err:504 Err:504 Err:504 25% Err:504 Err:504 Err:504
  • 20. 5 1,560,906.02 (561,926.17) (250,000.00) (300,000.00) 448,979.85 (134,693.95) 314,285.89 300,000.00 614,285.89 500,000.00 1,114,285.89
  • 21. Ano 0 1 2 3 4 Crec 5% Rec 1,500,000.00 1,575,000.00 1,653,750.00 1,736,437.50 36% (-) GV (540,000.00) (567,000.00) (595,350.00) (625,117.50) -250000 (-) GF (250,000.00) (250,000.00) (250,000.00) (250,000.00) -300000 (-) Dep (300,000.00) (300,000.00) (300,000.00) (300,000.00) LAIR 410,000.00 458,000.00 508,400.00 561,320.00 0.3 (-) IR - (123,000.00) (137,400.00) (152,520.00) (168,396.00) LL 287,000.00 320,600.00 355,880.00 392,924.00 (+) Dep 300,000.00 300,000.00 300,000.00 300,000.00 FCO 587,000.00 620,600.00 655,880.00 692,924.00 Inv Fix (2,000,000.00) Inv CDG FCL (2,000,000.00) 587,000.00 620,600.00 655,880.00 692,924.00 TMA 17% VPL 296,204.13 296,204.13 1350000 1500000 1650000 17% Err:504 Err:504 Err:504 20% Err:504 Err:504 Err:504 25% Err:504 Err:504 Err:504
  • 22. 5 1,823,259.38 (656,373.38) (250,000.00) (300,000.00) 616,886.00 (185,065.80) 431,820.20 300,000.00 731,820.20 500,000.00 1,231,820.20
  • 23. Ano 0 1 2 3 4 Rec 28,000.00 28,000.00 28,000.00 28,000.00 0% (-) GV - - - - -10000 (-) GF (10,000.00) (10,000.00) (10,000.00) (10,000.00) -9000 (-) Dep (9,000.00) (9,000.00) (9,000.00) (9,000.00) LAIR 9,000.00 9,000.00 9,000.00 9,000.00 (-) IR - - - - - LL 9,000.00 9,000.00 9,000.00 9,000.00 (+) Dep 9,000.00 9,000.00 9,000.00 9,000.00 FCO 18,000.00 18,000.00 18,000.00 18,000.00 Inv Fix (90,000.00) Inv CDG FCL (90,000.00) 18,000.00 18,000.00 18,000.00 18,000.00 TMA 15% VPL 337.84 [B4] Análise de senbiblidade 337.84 26000 28000 30000 12% Err:504 Err:504 Err:504 15% Err:504 Err:504 Err:504 18% Err:504 Err:504 Err:504
  • 24. 5 6 7 8 9 10 28,000.00 28,000.00 28,000.00 28,000.00 28,000.00 28,000.00 - - - - - - (10,000.00) (10,000.00) (10,000.00) (10,000.00) (10,000.00) (10,000.00) (9,000.00) (9,000.00) (9,000.00) (9,000.00) (9,000.00) (9,000.00) 9,000.00 9,000.00 9,000.00 9,000.00 9,000.00 9,000.00 - - - - - - 9,000.00 9,000.00 9,000.00 9,000.00 9,000.00 9,000.00 9,000.00 9,000.00 9,000.00 9,000.00 9,000.00 9,000.00 18,000.00 18,000.00 18,000.00 18,000.00 18,000.00 18,000.00 - 18,000.00 18,000.00 18,000.00 18,000.00 18,000.00 18,000.00
  • 25. Tornado Parâmetro Pior Melhor Receita (9,699.70) 10,375.37 Custo de capital (9,106.45) 11,704.01 Custo de capital (9,106.45) 11,704.01 Receita (9,699.70) 10,375.37 (20,000.00) (10,000.00) - 10,000.00 20,000.00
  • 27. Cálculos auxiliares Custos Fixos 70 90 120 Custos Fixos - 70 - 90 - 120 Custos Fixos 70 90 120
  • 28. Cálculos auxiliares K= 10% Custos variáveis 30% 40% 60% 857.49 554.22 (52.30) 781.67 478.41 (128.12) 667.95 364.68 (241.84) K= 15% Custos variáveis 30% 40% 60% 642.56 374.38 (161.96) 575.51 307.34 (229.00) 474.95 206.78 (329.57) K= 20% Custos variáveis 30% 40% 60% 465.40 226.15 (252.35) 405.59 166.34 (312.16) 315.87 76.62 (401.88)
  • 29. Ano 0 1 2 3 4 Rec 450,000.00 450,000.00 450,000.00 450,000.00 40% (-) GV (180,000.00) (180,000.00) (180,000.00) (180,000.00) -120000 (-) GF (120,000.00) (120,000.00) (120,000.00) (120,000.00) (-) Dep - - - - LAIR 150,000.00 150,000.00 150,000.00 150,000.00 (-) IR - - - - - LL 150,000.00 150,000.00 150,000.00 150,000.00 (+) Dep - - - - FCO 150,000.00 150,000.00 150,000.00 150,000.00 Inv Fix (500,000.00) Inv CDG FCL (500,000.00) 150,000.00 150,000.00 150,000.00 150,000.00 TMA 8% VPL 98,906.51 [B4] Análise de senbiblidade 98,906.51 -100000 -120000 -140000 30% 358,432.66 278,578.46 198,724.26 40% 178,760.71 98,906.51 19,052.30 45% 88,924.73 9,070.53 (70,783.67)
  • 30. 5 450,000.00 (180,000.00) (120,000.00) - 150,000.00 - 150,000.00 - 150,000.00 150,000.00
  • 31. Ano 0 1 2 3 4 Rec 450,000.00 450,000.00 450,000.00 450,000.00 40% (-) GV (180,000.00) (180,000.00) (180,000.00) (180,000.00) -120000 (-) GF (120,000.00) (120,000.00) (120,000.00) (120,000.00) (-) Dep - - - - LAIR 150,000.00 150,000.00 150,000.00 150,000.00 (-) IR - - - - - LL 150,000.00 150,000.00 150,000.00 150,000.00 (+) Dep - - - - FCO 150,000.00 150,000.00 150,000.00 150,000.00 Inv Fix (500,000.00) Inv CDG FCL (500,000.00) 150,000.00 150,000.00 150,000.00 150,000.00 TMA 12% VPL 40,716.43 [B4] Análise de senbiblidade 40,716.43 -100000 -120000 -140000 30% 275,026.88 202,931.36 130,835.84 40% 112,811.95 40,716.43 (31,379.09) 45% 31,704.49 (40,391.03) (112,486.56)
  • 32. 5 450,000.00 (180,000.00) (120,000.00) - 150,000.00 - 150,000.00 - 150,000.00 150,000.00
  • 33. Ano 0 1 2 3 4 Rec 450,000.00 450,000.00 450,000.00 450,000.00 40% (-) GV (180,000.00) (180,000.00) (180,000.00) (180,000.00) -120000 (-) GF (120,000.00) (120,000.00) (120,000.00) (120,000.00) (-) Dep - - - - LAIR 150,000.00 150,000.00 150,000.00 150,000.00 (-) IR - - - - - LL 150,000.00 150,000.00 150,000.00 150,000.00 (+) Dep - - - - FCO 150,000.00 150,000.00 150,000.00 150,000.00 Inv Fix (500,000.00) Inv CDG FCL (500,000.00) 150,000.00 150,000.00 150,000.00 150,000.00 TMA 18% VPL (30,924.35) [B4] Análise de senbiblidade (30,924.35) -100000 -120000 -140000 30% 172,341.77 109,798.35 47,254.93 40% 31,619.07 (30,924.35) (93,467.77) 45% (38,742.27) (101,285.69) (163,829.12)
  • 34. 5 450,000.00 (180,000.00) (120,000.00) - 150,000.00 - 150,000.00 - 150,000.00 150,000.00
  • 35. Tornado Parâmetro Pior Melhor Custos variáveis (40.39) 202.93 Custos fixos (31.38) 112.81 Custo de capital (30.92) 98.91 Custo de capital (30.92) 98.91 Custos fixos (31.38) 112.81 Custos variáveis (40.39) 202.93 (100.00) (50.00) - 50.00 100.00 150.00 200.00 250.00
  • 37. Cálculos auxiliares Custos Fixos 70 90 120 Custos Fixos - 70 - 90 - 120 Custos Fixos 70 90 120
  • 38. Cálculos auxiliares K= 10% Custos variáveis 30% 40% 60% 857.49 554.22 (52.30) 781.67 478.41 (128.12) 667.95 364.68 (241.84) K= 15% Custos variáveis 30% 40% 60% 642.56 374.38 (161.96) 575.51 307.34 (229.00) 474.95 206.78 (329.57) K= 20% Custos variáveis 30% 40% 60% 465.40 226.15 (252.35) 405.59 166.34 (312.16) 315.87 76.62 (401.88)
  • 39. Solução completa nas respostas do livro
  • 40. Soma $ 1 2 5 10 50 Q 10 5 2 2 1 20 Prob 0.5 0.25 0.1 0.1 0.05 $.Prob 0.5 0.5 0.5 1 2.5 5
  • 41. Resultado $ Prob E(X) Reforma Certo 50,000.00 100% 50,000.00 Nova Fav 100,000.00 70% 70,000.00 Desf (20,000.00) 30% (6,000.00) 64,000.00