Submitted by Marcia Silva (marcia@latec.uff.br) on 2017-04-04T19:41:31Z No. of bitstreams: 1 Dissert Plinio de Melo Alves.pdf: 5439128 bytes, checksum: ed523a38de8977df17e89facf367e578 (MD5) / Approved for entry into archive by Biblioteca da Escola de Engenharia (bee@ndc.uff.br) on 2017-05-15T12:34:10Z (GMT) No. of bitstreams: 1 Dissert Plinio de Melo Alves.pdf: 5439128 bytes, checksum: ed523a38de8977df17e89facf367e578 (MD5) / Made available in DSpace on 2017-05-15T12:34:10Z (GMT). No. of bitstreams: 1 Dissert Plinio de Melo Alves.pdf: 5439128 bytes, checksum: ed523a38de8977df17e89facf367e578 (MD5) Previous issue date: 2016 / O Gerenciamento de Portfólio tem sido aplicado há mais de 60 anos em alguns setores focados em investimentos financeiros. A utilização da metodologia expandiu anos depois para otimização do uso de recursos na implementação e Gestão do Produto e de Projetos. Dentro deste conceito, este trabalho de pesquisa tem por objetivo contribuir com a literatura atual e incluir o Gerenciamento de Portfólio de Projetos (GPP) na agenda empresarial, propondo um método de gestão para integração e gerenciamento de um portfólio de projetos de engenharia offshore na indústria de óleo e gás, numa multinacional brasileira contratada por uma multinacional norueguesa (o cliente). A metodologia utilizada é a pesquisa-ação. Adicionalmente, a pesquisa visa caracterizar as particularidades do GPP no contexto offshore como fatores que influenciam a forma de gerenciar o portfólio. Para tanto, foi necessário identificar na bibliografia de GPP os possíveis componentes a serem utilizados no contexto offshore. Para atingir o objetivo da pesquisa, foi implementado um modelo de gestão para avaliar suas potencialidades e limitações de aplicação, representando contribuições para o ambiente acadêmico, pela proposição de mais uma opção de modelo de GPP e empresarial, pela demonstração da implementação do método em um caso prático / Portfolio Management has been applied for about 60 years in some sectors focused on financial investments. The methodology application has increased some years later for resource usage optimizing on Implementing and Management for Products and Projects. Within this concept, the research focuses on contribution to the current bibliography and add in Project Portfolio Management (PPM) in entrepreneurial agenda, proposing a method for an Offshore Engineering Project Portfolio integration and management at oil and gas industry in a Brazilian multinational company, contracted by a Norwegian multinational company (the customer). The methodology used was action-research. In addition, the research aims to describe the particularities of Engineering PPM into offshore context, like factors that affect the way to manage the portfolio. For this purpose it was necessary identify in PPM theoretical framework the possible components to be used in offshore context. To achieve the research target, it was implemented the management system to evaluate their potentialities and application limitations, which contributes to academic environment, by presenting another option of PPM template and corporate, by showing a practice implementation

Doctorat en sciences sociales, politiques et économiques / info:eu-repo/semantics/nonPublished

>Magister Scientiae - MSc / In this thesis, we discuss methods for optimising the expected rate of return of a portfolio with minimal risk. As part of the work we look at the Modern Portfolio Theory which tries to maximise the portfolio's expected rate of return for a cer- tain amount of risk. We also use Quadratic Programming to optimise portfolios. Generally it is recognised that portfolios with a high expected return, carry higher risk. The Modern Portfolio Theory assists when choosing portfolios with the lowest possible risk. There is a nite number of assets in a portfolio and we therefore want to allocate them in such a way that we're able to optimise the expected rate of return with minimal risk. We also use the Markowian approach to allocate these assets. The Capital Asset Pricing Model is also used, which will help us to reduce our e cient portfolio to a single portfolio. Furthermore we use the Black-Litterman model to try and optimise our portfolio with a view to understanding the current market conditions, as well as considering how the market will perform in the future. An additional tool we'll use is Value at Risk. This enables us to manage the market risk. To this end, we follow the three basic approaches from Jorion [Value at Risk. USA: McGraw-Hills, 2001]. The Value at Risk tool has become essential in calcu- lating a portfolio's risk over the last decade. It works by monitoring algorithms in order to nd the worst possible scenarios within the portfolio. We perform several numerical experiments in MATLAB and Microsoft Excel and these are presented in the thesis with the relevant descriptions.

This study aims to investigate the relationship between private saving and investment for South Africa using a Vector Error Correction Framework. Saving and investment are considered to be important factors for sustainable economic growth in the country, particularly as these variables have been recorded at significantly lower levels than those of other developing nations. By examining the direction of causality between saving and investment, the most suitable policy measures can be used in stimulating either savings or investment, and as a result aggregate growth. The study found a positive two-way causality to exist between these two variables, proving that both saving and investment-led policies are necessary in raising saving and investment levels. With the inclusion of credit extension as the third variable used to remove any variable bias, the study not only found credit extension to Granger cause private saving, but the reverse relationship was found to be present as well. This relationship was however found to be negative, confirming that lower borrowing constraints may have a negative effect on saving levels. The negative relationship between credit supply and private saving (substitution effect) proves that credit supply will only yield a positive result for savings if channelled through investment expenditure.

Research studies on portfolio diversification have tended to focus on developed markets and paid less attention to emerging markets. Traditionally, correlation analysis has been used to determine potential benefits from diversification but current studies have shifted focus from correlation analysis to exploring cointegration analysis and other forms of tests such as the Vector Error Correction Methodology. The research seeks to find if it is beneficial for a South African investor to diversify their portfolio of emerging market equities over a long-term period. Daily weighted share indices for the period of January 1996 to November 2008 were collected and analysed through the application of the Johansen cointegration technique and Vector Error Correction Methodology. Granger Causality tests were also performed to established whether one variable can be useful in forecasting another variable. The study found that there was at least one statistically significant long-run relationship between the emerging markets. After testing for unit roots for all the share indices and their first difference using the Augmented Dickey-Fuller test (ADF), Philips-Perron and Kwiatkowski, Phillips, Schmidt, and Shin (KPSS) unit root tests, similar conclusions were m~de. All the unit root tests and their levels could not be rejected for all the series. However, unit root tests on the first differences were rejected, meaning that all series are of order 1(1) - evidence of cointegration. Simply put, emerging markets tend not to drift apart over time. This suggests that emerging markets offer limited benefits to investors who are looking to add some risk to their portfolios. In addition, the study also found evidence of both unidirectional and bidirectional causality (Granger-Cause tests) between markets. This implies that the conditions for a particular market are exogenous of the other market. The study concludes that emerging markets are gradually adopting the same profile as developed markets.

Les marchés financiers évoluent plus ou moins rapidement et fortement au gré des différents types d’information diffusés au cours des périodes d’étude. Dans ce contexte, nous cherchons à mesurer l’influence de tous types d’information sur des portefeuilles d’arbitrage systématique « euro neutres » multi-classes d’actifs, issus soit d’une diversification « naïve » (« 1/N ») soit d’une diversification optimale. Dans le cadre de nos recherches sur l’allocation tactique systématique, ces divers flux informationnels sont regroupés sous le terme de données hétérogènes (données de cotation et « autres informations de marché »). Les données de cotation sont des prix de clôture quotidiens d’actifs tandis que les « autres informations de marché » correspondent à trois types d’indicateurs : de conjoncture, de sentiments et de volatilité. Nous mesurons l’impact d’une combinaison de données hétérogènes sur nos portefeuilles d’arbitrage pour une période de tests incluant la crise des subprimes, à l’aide d’analyses de données (ACP) et de techniques probabilistes de quantification vectorielle. L’influence des données hétérogènes sur les portefeuilles d’arbitrage est mesurée notamment au travers d’une hausse de la rentabilité, d’un accroissement du ratio rentabilité/volatilité post crise des subprimes, d’une baisse de la volatilité ou d’une baisse des corrélations entre classes d’actifs. Ces découvertes empiriques permettent d’envisager la prise en compte des « autres informations de marché » comme élément de diversification du risque d’un portefeuille. Nous formalisons des éléments de réponse au défi posé par l’allocation tactique multi-classes d’actifs (Blitz et Vliet, 2008), en intégrant des variables « prédictives » à un processus systématique de market timing qui incorpore de manière quantitative des données hétérogènes. / Financial markets evolve more or less rapidly and strongly to all kind of information depending on time period of study. In this context, we intend to measure a broad set of information influence on systematic multi-assets classes “euro neutral” arbitrage portfolios either for “naive” diversification and optimal diversification. Our research focuses on systematic tactical asset allocation and we group these information under the name of heterogeneous data (market data and “other market information”). Market data are “end of day” asset closing prices and “other market information” gather economic cycle, sentiment and volatility indicators. We assess the influence of a heterogeneous data combination on our arbitrage portfolios for a time period including the subprimes crisis period and thanks to data analysis and quantization algorithms. The impact of a heterogeneous data combination on our arbitrage portfolio is materialized by increasing return, increasing return/volatility ratio for the post subprimes crisis period, decreasing volatility and asset class correlations. These empirical findings suggest that “other market information” presence could be an element of arbitrage portfolio risk diversification. Furthermore, we investigate and bring empirical results to Blitz and Vliet (2008) issue on global tactical asset allocation (GTAA) by considering “predictive” variables with a systematic market timing process integrating heterogeneous data thanks to a quantitative data processing.

La maîtrise du processus d’innovation est devenu un enjeu majeur pour les acteurs économiques actuels. Plus particulièrement dans les industries de biens d’équipement, le processus de conception et développement est long, complexe et implique différents acteurs travaillant sous des contraintes sévères. L’innovation n’est plus une activité ponctuelle mais récurrente. Le développement de nouveaux produits est donc organisée sous la forme de projets: les «projets d’innovation». A partir des observations portées sur le pilotage des projets d’innovation à l’intérieur d’un groupe industriel appelé Converteam, cette thèse propose une méthode de classification et segmentation des projets d'innovation de biens d’équipement. Afin de concevoir cette méthode de classification, une méthodologie d’observation pour la collecte des données a été mise au point. La campagne d’expérimentation a été menée dans le cadre de six projets d’innovation développés chez Converteam. Nous avons commencé par réaliser une analyse de l’évolution et de la dynamique d’innovation de la technologie des moteurs électriques afin de préciser la problématique industrielle. Ensuite nous avons analysé la littérature afin de trouver les éléments permettant de mettre au point une classification des projets d’innovation. L’étude de ces éléments a abouti dans une méthode de classification qui prend en compte les aspects marketing, technologiques et les attentes des entreprises, pour classer les projets en trois catégories : la différentiation, la neutralisation et l’optimisation. Cette méthode a été testée sur six projets d’innovation ce qui nous a permis de dégager de bonnes pratiques pour chaque catégorie de projet / Mastering the innovation process is a critical and major issue for a wide range of companies in this rapidly changing world. Especially in the capital goods industries where the design and development process is very long, complex and involves many different departments working under severe constraints (limited financial and technological resources, time, standards and rules to follow, etc). Innovation in these industries is no longer casual, but it has became a pivotal activity of the company. Thus, new product development activity is organized into "innovation projects". From observations of the innovative projects driver within a large industrial group called Converteam, this thesis proposes a method for classifying and segmenting capital goods innovation projects. In order to develop this classification method, an observation methodology for data collection has been developed. The experimental procedure was performed in six innovation projects developed at Converteam. We started by analysing the evolution and dynamics of the electric motors technology. Then, we analyzed the literature in order to find the inputs and outputs needed to develop a classification of innovation projects. The study of these elements resulted in a classification method that takes into account the marketing and technological aspects and the company expectations to classify projects into three categories: differentiation, neutralization and optimization. This method was tested on six innovative projects that allowed us to identify good practices for each project category

The topic researched for this project will be foreigh exchange hedging; the available forms, the uses, the procedures, and the value. This project will expand beyond the typical research and examine the value of hedging through the use of different foreign exchang currency trading strategies to small multinationational corporations.

This thesis is dedicated to modeling and management of project portfolio. In the first part, project is specified, along with methods for its managing. Next part describes the project portfolio, its managing and aspects that affect it. Thesis continues with analysis and design of software prototype capable of managing project portfolios.  Most suitable methods are selected for project analysis.  Designed prototype is then implemented and solution is described in the thesis. Last part of the work is user testing, which pointed out the functionality and usability of created prototype.

Purpose: The purpose of this study is to increase the knowledge of how the existing gap betweenstrategy formulation and strategy implementation can be bridged in a project-­‐based organization.  The reason for this is to contribute with an empirical example of what challenges and obstacles are associated with this gap and how these can be solved.Method: The investigation of the strategy implementation in a project-­‐based organization has been conducted as a case study. To collect the necessary empirical material, three rounds of interviews were held with relevant employees of the case company, such as the Head of Strategy, Head of Product and sales people. The interviews have been complemented by collection of documents and participation in meetings held at the case company.Findings: The findings of the case study have showed that the strategy can be implemented in three ways in a project-­‐based organization: through the organizational structure, through the executed external projects and through the portfolio management. Additionally, the findings have revealed a number of existing problems within strategy implementation. The major challenges found were achieving balance in the Balanced Scorecard, prioritization of both internal and external projects and managing a programme as a project, which were confirmed in the literature.Practical implications: This study has resulted in a description of  how  a  project-­‐based organization implements its strategy. Furthermore, this study highlights the existing challenges within this process, such as achieving balance in the Balanced Scorecard and better prioritizing the internal and external projects.Theoretical implications: This study contributes with increased insight and knowledge of how a project-­‐based organization implements strategy and thus, expands the knowledge of how the gap between strategy formulation and implementation can be decreased. Several problems highlighted in the literature associated with this gap have been verified by this study. In this way, additional theoretical implications are the proposed solutions for how these problems can be solved. / Syfte: Syftet med denna studie är att öka kunskapen om hur det existerande gapet mellan strategiformulering och strategiimplementering kan överbryggas i en projektbaserad organisation. Anledningen till detta är att bidra med ett empiriskt exempel kring vilka utmaningarnas och hinder som associeras med detta gap samt hur dessa kan överkommas. Metod: Undersökningen av strategiimplementeringen i en projektbaserad organisation har genomförts i form av en fallstudie. För att samla in det nödvändiga empiriska materialet har tre intervjurundor genomförts  tillsammans  med relevanta anställda på fallstudieföretaget.  Exempel på dessa är Strategichefen, Produktchefen och säljare. Intervjuerna var kompletterade genom insamling av dokument och genom deltagande på möten som hölls på fallstudieföretaget. Resultat: Resultat av denna fallstudie visar att strategi kam implementeras på tre sätt i en projektbaserad organisation: genom organisationsstrukturen, genom exekveringen av externa projekt  och genom portföljhantering. Resultaten har också visat ett antal existerande problem inom  rategiimplementeringen. De stora utmaningarna är att uppnå balansen i de balanserade styrkorten, prioriteringen av både interna och externa projekt och hantera ett program som ett projekt. Dessa utmaningar var bekräftade i litteraturen. Praktiskt bidrag: Denna studie har resulterat i en beskrivning av hur en projektbaserad organisation implementerar sin strategi. Dessutom har denna studie lyft fram de existerande utmaningarna inom denna process, såsom att uppnå balansen i de balanserade styrkorten och bättre prioritering av interna och externa projekt. Vetenskapligt bidrag: Denna studie bidrar med ökad insyn och kunskap om hur en projektbaserad organisation implementerar strategi och således, utvidgar kunskapen om hur gapet mellan strategiformuleringen och implementeringen kan minska. Flera problem som lyfts fram i litteraturen och som associeras med detta gap har blivit bekräftade i denna studie. Därför är de föreslagna lösningarna på hur dessa problem kan lösas ännu ett vetenskapligt bidrag.