Esta tese é dedicada ao estudo de modelos de otimização de carteiras de investimento multi-período. Daremos ênfase a um modelo com restrições intermediárias formulado como um problema de controle ótimo e resolvido utilizando técnicas de programação dinâmica. Serão tratados aspectos teóricos e práticos desta classe de problemas. Primeiramente faremos uma revisão das principais hipóteses dos modelos de otimização de carteiras e o caso uni-período. Analisaremos a seguir as generalizações para o caso multi-período, onde os modelos utilizam apenas restrições para o valor esperado e/ou para a variância da carteira no instante final do período analisado. Apresentaremos então o principal resultado proposto neste trabalho onde consideramos o problema de seleção ótima de ativos multi-período no qual podemos incorporar ao modelo restrições intermediárias para o valor esperado e variância da carteira durante o período de análise. A grande vantagem desta técnica é permitir o controle do valor esperado e/ou da variância da carteira ao longo de todo o horizonte de análise. Faremos uma comparação o entre as formulações apresentadas e realizaremos experimentos numéricos com o modelo proposta nesta tese. Os principais resultados originais desta tese encontram-se no Capítulo 5. No Capítulo 6 apresentamos as simulações numéricas realizadas com o modelo proposto. / The subject of this thesis is the study of multi-period portfolio optimization problems. We focus on a model with intermediate constraints formulated as an optimal control problem and solved by using dynamic programming techniques. Both theoretical and practical issues are addressed. Firstly we will analyze the main hypothesis of portfolio optimization models and the single period case. Then we will present the generalization for the multi-period case, where the models use only constraints for the expected value and variance at the final period. The main result proposed in this work considers the multi-period portfolio selection problem with intermediate constraints on the expected value and variance of the portfolio taken into account in the optimization problem. The main advantage of this technique is that it is possible to control the intermediate expected value or variance of the portfolio during the time horizon considered. Comparison between the presented formulations and numerical experiments of the proposed model will be exposed. The main original results of this thesis can be found in Chapter 5. In Chapter 6 we present numerical simulations with the proposed model.

Esta tese é dedicada ao estudo de modelos de otimização de carteiras de investimento multi-período. Daremos ênfase a um modelo com restrições intermediárias formulado como um problema de controle ótimo e resolvido utilizando técnicas de programação dinâmica. Serão tratados aspectos teóricos e práticos desta classe de problemas. Primeiramente faremos uma revisão das principais hipóteses dos modelos de otimização de carteiras e o caso uni-período. Analisaremos a seguir as generalizações para o caso multi-período, onde os modelos utilizam apenas restrições para o valor esperado e/ou para a variância da carteira no instante final do período analisado. Apresentaremos então o principal resultado proposto neste trabalho onde consideramos o problema de seleção ótima de ativos multi-período no qual podemos incorporar ao modelo restrições intermediárias para o valor esperado e variância da carteira durante o período de análise. A grande vantagem desta técnica é permitir o controle do valor esperado e/ou da variância da carteira ao longo de todo o horizonte de análise. Faremos uma comparação o entre as formulações apresentadas e realizaremos experimentos numéricos com o modelo proposta nesta tese. Os principais resultados originais desta tese encontram-se no Capítulo 5. No Capítulo 6 apresentamos as simulações numéricas realizadas com o modelo proposto. / The subject of this thesis is the study of multi-period portfolio optimization problems. We focus on a model with intermediate constraints formulated as an optimal control problem and solved by using dynamic programming techniques. Both theoretical and practical issues are addressed. Firstly we will analyze the main hypothesis of portfolio optimization models and the single period case. Then we will present the generalization for the multi-period case, where the models use only constraints for the expected value and variance at the final period. The main result proposed in this work considers the multi-period portfolio selection problem with intermediate constraints on the expected value and variance of the portfolio taken into account in the optimization problem. The main advantage of this technique is that it is possible to control the intermediate expected value or variance of the portfolio during the time horizon considered. Comparison between the presented formulations and numerical experiments of the proposed model will be exposed. The main original results of this thesis can be found in Chapter 5. In Chapter 6 we present numerical simulations with the proposed model.

A multi-period optimal energy planning program for Ontario has been developed in mixed-integer non-linear programming using General Algebraic Modeling System, GAMS. The program applies both time-dependent and time-independent constraints. These include, but not limited to, construction time, fluctuation of fuel prices, and CO2 emission reduction target. It also offer flexibility of fuel balancing and fuel switching of the existing boilers and option purchasing of Carbon credit if the reduction target is not achievable. The objective function incorporates all these constraints as well as minimizes over all the cost of electricity and meets the projected electricity demand over the 30 years horizon. A number of Ontario study cases are performed utilizing this 30 years model. These cases include a number of CO2 emission reduction target from 6% to 75% below that of 1990 levels by 2014, doubling of natural gas over the forecasted price in 2020, an arbitrary year. A study case in appliance with the Environmental Protection Act where no new or existing coal-fired power stations are available after 2014, as well as study cases where no new nuclear power stations are available. The overall cost of the electricity for different CO2 emission reduction targets increases linearly with slope of ~ 5. The fuel switching, fuel balancing for coal stations, and retrofitting of the carbon capture and storage are the main strategy in order to keep the cost of electricity relative low and satisfy the CO2 emission constraints. Nuclear power is an essential supply technology to the fleet especially when CO2 emission is concerned. An additional 248 Mt of CO2 emission is observed over the reference case when no new nuclear supply is offered. Eliminating all coal technologies by 2014 in accordance to the Environmental Protection Act may also reduce the CO2 emission with less additional expenditure normally associated with the emission reduction processes. This however also reduces the energy port folio diversity, forcing the system to depend on a smaller group of supply technologies and decreasing the reliability of the system overall. These results help us better understand the factors affecting the fleet’s structure. It may also help plan the energy direction of Ontario and perhaps serve as an example for other provinces, territories, states, and even countries.

A multi-period optimal energy planning program for Ontario has been developed in mixed-integer non-linear programming using General Algebraic Modeling System, GAMS. The program applies both time-dependent and time-independent constraints. These include, but not limited to, construction time, fluctuation of fuel prices, and CO2 emission reduction target. It also offer flexibility of fuel balancing and fuel switching of the existing boilers and option purchasing of Carbon credit if the reduction target is not achievable. The objective function incorporates all these constraints as well as minimizes over all the cost of electricity and meets the projected electricity demand over the 30 years horizon. A number of Ontario study cases are performed utilizing this 30 years model. These cases include a number of CO2 emission reduction target from 6% to 75% below that of 1990 levels by 2014, doubling of natural gas over the forecasted price in 2020, an arbitrary year. A study case in appliance with the Environmental Protection Act where no new or existing coal-fired power stations are available after 2014, as well as study cases where no new nuclear power stations are available. The overall cost of the electricity for different CO2 emission reduction targets increases linearly with slope of ~ 5. The fuel switching, fuel balancing for coal stations, and retrofitting of the carbon capture and storage are the main strategy in order to keep the cost of electricity relative low and satisfy the CO2 emission constraints. Nuclear power is an essential supply technology to the fleet especially when CO2 emission is concerned. An additional 248 Mt of CO2 emission is observed over the reference case when no new nuclear supply is offered. Eliminating all coal technologies by 2014 in accordance to the Environmental Protection Act may also reduce the CO2 emission with less additional expenditure normally associated with the emission reduction processes. This however also reduces the energy port folio diversity, forcing the system to depend on a smaller group of supply technologies and decreasing the reliability of the system overall. These results help us better understand the factors affecting the fleet’s structure. It may also help plan the energy direction of Ontario and perhaps serve as an example for other provinces, territories, states, and even countries.

Processing facilities are normally designed with sufficient flexibility to handle nominal variations. When the process features planned changes in feedstock and products, scheduling is often used to optimize process operation. The objective of this dissertation is to develop a new approach to design and scheduling with economic, environmental, heat integration and inherently safer design objectives. Specifically, this work introduces a systematic framework and the associated mathematical formulation for simultaneous process design and scheduling while simultaneously addressing economic, environmental, heat integration and inherently safer design objectives. Therefore, more than one type of proper tradeoffs are established between these objectives. The environmental issues pertaining to the parameterized process retrofitting, scheduling, and operation strategies are simultaneously considered along with the environmental impact of these changes. Similarly, the design synthesis of heat-exchange networks (HENs) is addressed in the context of optimizing energy consumption under scheduling scenarios. Finally, the goal of inherently safer design is simultaneously considered with the expected schedules of the process. Several optimization formulations are developed for the projected schedules while allowing design modifications and retrofitting changes. The modifications and changes include new environmental management units, synthesis of flexible and optimal HENs, and design of an inherently safer process. Process models with the appropriate level of relevant details are included in the formulations. A discretization approach has been adopted to allow for a multiperiod optimization formulation over a given time horizon. The resulting framework identifies opportunities for synergism between the economic, environmental, heat integration and inherently safer design objectives. It also determines points of diminishing return beyond which tradeoffs between the above mentioned objectives are established. The devised procedure is illustrated with case studies.

No description available.

The advent of the Internet has not only enabled traditional brick-and-mortar retailers to open online channels, but also provided a platform that facilitated consumer-to-consumer information exchange on retailers and/or products. As a result, the purchasing decisions of today's consumers are often affected by the purchasing decisions of other consumers. In this dissertation, we adopt an interdisciplinary approach that brings together tools and concepts from operations management, economics, systems dynamics and marketing literatures to create analytical models in order to address a dual-channel retailer's optimal demand shaping strategy, through e-commerce advertisement efforts, store service levels, and pricing, in this new environment. Our findings show that the retailer's optimal demand shaping strategy, in terms of store service levels and e-commerce advertisement effort, critically depends on the product's e-commerce adoption phase. We also show that in the presence of higher operating costs for the store channel compared to the online channels, a channel-tailored pricing policy always dominates a uniform pricing strategy. Our work sheds light on the benefits of channel integration for multi-channel retailers. We show that the retailer can leverage the online channels to provide in-store pricing and inventory availability information in order to enable a more transparent shopping experience for consumers, and this strategy results in a "win-win" situation for all parties. / Ph. D.

One of the financial risks an agent has to deal with is market risk. Market risk is caused by the uncertainty attached to asset values. There exit various measures trying to model market risk. The most widely accepted one is Value-at- Risk. However Value-at-Risk does not encourage portfolio diversification in general, whereas a consistent risk measure has to do so. In this work, risk measures satisfying these consistency conditions are examined within theoretical basis. Different types of coherent and convex risk measures are investigated. Moreover the extension of coherent risk measures to multiperiod settings is discussed.

Le travail que nous présentons dans cette thèse porte sur le problème d'affectation dans une place de marché de prospects Internet. Plus précisément, ce travail a pour ambition de répondre à la problématique de l'adéquation de l'offre et de la demande, dans un contexte caractérisé par des flux continus faisant évoluer en temps réel l'ensemble des offres disponibles et les demandes à satisfaire. Pour ce faire, nous proposons dans un premier temps un modèle mono-période qui optimise le problème d'affectation à un instant donné et en considérant une seule période de temps, tout en permettant la prise en compte instantanée des nouvelles offres et demandes et leur adéquation en temps réel. Ce modèle permet d'optimiser deux objectifs à savoir: la maximisation du chiffre d'affaires et la satisfaction des clients.Par la suite nous proposons d'étendre ce modèle sur plusieurs périodes de temps futures afin de prendre en compte l'aspect temps réel de l'activité de la place de marché et donc le fait que des flux continus font évoluer en temps réel l'ensemble des offres et des demandes. L'objectif étant de tirer profit de la connaissance concernant cette évolution, par le biais de l'intégration d'un modèle de prévision dans un modèle d'optimisation multi-période.Ainsi, nous proposons un modèle d'optimisation multi-période permettant d'envisager à un instant donné des affectations sur plusieurs périodes de temps futures afin de réaliser les meilleures affectations possibles. Aussi, nous proposons un modèle de prévision des nouveaux flux tout en considérant les caractéristiques du modèle d'optimisation multi-période.Construire un modèle de prévision nécessite de définir les données à prévoir avant d'envisager toute méthode de prévision. En d'autres termes, nous devons choisir les paramètres du modèle de prévision, à savoir: les données historiques appropriées, le pas de temps de la prévision ainsi que l'horizon de la prévision. Le défi consiste donc à définir les paramètres du modèle de prévision qui conviendront au fonctionnement du modèle de l'optimisation multi-période.Par ailleurs, une des caractéristiques de la place de marché est la temporalité de son système. Ainsi, nous proposons un algorithme assurant l'aspect temps réel et donc le fait que les affectations s'effectuent toutes les minutes. L'algorithme que nous proposons fonctionne de manière continue à longueur de journée en optimisant à chaque instant l'adéquation offre/demande de prospects Internet tout en considérant instantanément les flux continus de prospects Internet ainsi que la mise à jour régulière de la demande Enfin, pour mettre en évidence l'efficacité et les bénéfices que la place de marché peut en tirer par l'utilisation des modèles et de l'algorithme proposés, nous avons mené des tests et différentes expérimentations sur des données réelles. Ces tests nous ont permis de valider nos travaux et d'évaluer la qualité des résultats obtenus.L'objectif de ce travail est double, d'une part, donner un cadre solide et formel pour répondre à la problématique de la place de marché de prospects Internet. D'autre part, le cadre proposé devrait être aussi générique que possible afin de résoudre tout autre problème analogue à celui de la place de marché de prospects Internet. / The work that we present in this thesis focuses on the assignment problem in a marketplace of Internet prospects. More precisely, this work aims to address the problem of matching offers and demands in a context characterized by a continuous flows. These latter evolve inreal time the set of available offers and demands to satisfy. To do this, we propose initially a mono-period model which optimizes the assignment problem at a given instant and taking into account asingle period of time while allowing the instantaneous consideration of new offers and demands and their adequacy in real time. This model considers two objectives to optimize, namely: maximization of turnover as well as clients satisfaction.Thereafter, we propose to extend this model over several future time periods in order to take into account the real time aspect of the marketplace activity and so the fact that a continuous flows evolve in real time the set of offers en demands. The objective is to take advantage of knowledge about this evolution, through the integration of a forecasting model in a multi-period optimization model. Thus,we propose a multi-period optimization model for considering at agiven instant assignments over several future time periods. Also, we propose a forecasting model for new flows while considering the characteristics of the multi-period optimization model.Building a forecasting model requires defining the data before considering any forecasting method. In other words, we have to choose the parameters of the forecasting model, namely the appropriate historical data, the forecasting time step and the forecasting horizon. The challenge is to define the parameters of the forecasting model which agree with the functioning the multi-period optimization model.Furthermore, a feature of the marketplace is the temporality of its system. Thus, we propose an algorithm ensuring real-time aspect and so the fact that assignments are made every minute. The proposed algorithm works continuously all day long while optimizing every instant the offer/demand adequacy of Internet prospects and instantly considering the continuous flux of Internet prospects as well as the regular updating demand. Finally, in order to show the efficiency and the benefits that the marketplace can reap by the use of the proposed models, we conducted tests and various experiments on real data. These tests have allowed us to validate the proposed models and evaluate the quality of the results.The aim is twofold, giving a strong and formal framework to address the issue of the marketplace of Internet prospects but also proposing a generic framework to solve any problem similar to that of the marketplace of Internet prospects.

Neste trabalho, deriva-se uma política de escolha ótima baseada na análise de média-variância para o Erro de Rastreamento no cenário Multi-período - ERM -. Referindo-se ao ERM como a diferença entre o capital acumulado pela carteira escolhida e o acumulado pela carteira de um benchmark. Assim, foi aplicada a metodologia abordada por Li-Ng em [24] para a solução analítica, obtendo-se dessa maneira uma generalização do caso uniperíodo introduzido por Roll em [38]. Em seguida, selecionou-se um portfólio do mercado de ações brasileiro baseado no fator de orrelação, e adotou-se como benchmark o índice da bolsa de valores do estado de São Paulo IBOVESPA, além da taxa básica de juros SELIC como ativo de renda fixa. Dois casos foram abordados: carteira composta somente de ativos de risco, caso I, e carteira com um ativo sem risco indexado à SELIC - e ativos do caso I (caso II). / In this work, an optimal policy for portfolio selection based on mean-varian e analysis for the multi-period tracking error - ERM - was derived. ERM is understood as the difference between the capital raised by the selected portfolio and benchmark portfolio. Thus, the methodology discussed by Li-Ng in [24] for analytical solution was applied, generalizing the single period case introduced by Roll in [38]. Then, it was selected a portfolio from the Brazilian stock trading based on the correlation factor, and adopted as benchmark the index of the stock trading of São Paulo State IBOVESPA, and the basic interest rate SELIC as fixed income asset. Two cases were dealt: portfolio composed of risky assets only, case I, and portfolio with a risk-free asset - indexed to SELIC - and assets of the case I (case II).