This thesis concentrates on different approaches of solving decision making problems with an aspect of randomness. The basic methodologies of converting stochastic optimization problems to deterministic optimization problems are described. The proximity of solution of a problem and its empirical counterpart is shown. The empirical counterpart is used when we don't know the distribution of the random elements of the former problem. The distribution with heavy tails, stable distribution and their relationship is described. The stochastic dominance and the possibility of defining problems with stochastic dominance is introduced. The proximity of solution of problem with second order stochastic dominance and the solution of its empirical counterpart is proven. A portfolio management problem with second order stochastic dominance is solved by solving the equivalent empirical problem. Powered by TCPDF (www.tcpdf.org)

A partir dos anos 2000 houve uma significativa mudança no cenário global da manufatura, no sentido de induzir as empresas a trabalhar dentro de ambientes colaborativos, os quais necessitam de soluções mais integradas ao \'modelo de empresa estendida\' para colaborar a organização como um todo, incluindo parceiros, fornecedores e clientes. Na atualidade, as atividades de planejamento e gerenciamento dos processos de manufatura necessitam levar em consideração a dispersão de recursos (do ponto de vista sistema), que engloba inclusive o conhecimento e a informação. Um problema de grande importância está na \'conexão\' (interface) entre as engenharias, os ambientes de produção e os ambientes de operações comerciais, principalmente na precisão do compartilhamento de dados. Como proposta de solução deste problema a pesquisa tem como contribuição a criação do modelo de referência denominado PLM2M (PLM to Manufacturing), suportado pelas iniciativas da manufatura digital DM (Digital Manufacturing) do PLM (Product Lifecycle Management), que envolvem \'simulação\' e \'procedimentos colaborativos\', principalmente para as atividades de planejamento e gerenciamento de processos de manufatura, consideradas o \'elo\' entre o desenvolvimento de produtos, o gerenciamento do chão de fábrica e o planejamento e controle da produção. O modelo de referência PLM2M tem como objetivo integrar as áreas que participam do processo de manufatura. Está fundamentado em um conjunto de procedimentos que explora estratégias de modelagem de fluxos de trabalho WfMS (Workflow Management System) e arquitetura TIC (Tecnologia da Informação e Comunicação), a modelagem de processos de negócios, as definições de produto, o layout de plantas industriais, os recursos (máquinas e dispositivos, matéria-prima e pessoas), o sequenciamento das operações de produção (que releva a demanda e envolve volume, variedade e prazos), e ainda, o controle e gerenciamento das informações de chão de fábrica. O modelo PLM2M estabelece relação com a gestão de portfólio de programas e projetos no ciclo de vida de produtos (PLM) e tem o propósito de oferecer melhoria de produtividade, ajuste de capacidade de produção e melhor reuso dos ativos da planta, proporcionando melhores \'time-to-market\' de produtos. Para implementar o modelo PLM2M considera-se a hipótese de que esse modelo deve ser aplicado em cenários de planejamento e gerenciamento de processos de manufatura para ambientes complexos e dispersos e que estejam engajados dentro de critérios de avaliação (assessment) de modelos de maturidade e capabilidade em relação ao uso do PLM e Manufatura Digital. / Since 2000, there has been a significant change in the global scenario of manufacturing, in order to induce companies to work within collaborative environments, which require more integrated solutions to the \'extended enterprise model\' to collaborate the organization as a whole, including partners, suppliers and customers. In the current days, the activities of manufacturing process planning and management need to take into account the dispersion of resources (from the point of view system), which includes the knowledge and information. A problem of great importance is the \'connection\' (interface) among the engineering, the production environments and the commercial operations environments, mainly in the accuracy of the data sharing. As a proposal for solve this problem the research presents as a contribution the creation of the reference model called PLM2M (PLM to Manufacturing), supported by initiatives of Digital Manufacturing (DM) of PLM (Product Lifecycle Management), that involves \'simulation\' and \'collaborative procedures\', principally for activities of manufacturing processes planning and management, considered the \'link\' among the products development, the shop floor management and the production planning and control. The PLM2M reference model has as objective to integrate the areas that participate in the manufacturing process. It is based on a set of procedures that explores workflows modeling strategies WfMS (Workflow Management System) and ICT (Information and Communication Technology) architecture, the business processes modeling, the product definitions, the layout of industrial plants, the resources (machines and devices, raw materials and people), the sequencing of production operations (which takes into account the demand and involves volume, variety and lead-time), and yet, the shop floor information control and management. The PLM2M model establishes relationship with the portfolio management of programs and projects in the product lifecycle management (PLM) and has the purpose to provide productivity improvement, adjustment of production capacity and better reuse of plant assets, providing better \'time-to-market\' of products. To implement the PLM2M model, it is important to consider the hypothesis that this model should be applied in manufacturing process planning and management scenarios for complex and dispersed environments and that are engaged within assessment criteria of maturity and capability models in relation to the use of PLM and Digital Manufacturing.

Made available in DSpace on 2015-12-03T18:33:06Z (GMT). No. of bitstreams: 1 Jose_Raymundo_de_Faria_Junior.pdf: 1267452 bytes, checksum: 6a478b16fd990211249d441f2100f6b4 (MD5) Previous issue date: 2014-02-18 / The objective of this research is to propose for high income Brazilian investors a model of dynamic allocation with international diversification that uses ETFs and the PMI manufacturing index. ETFs were selected from twelve countries, including the ETF equities in Brazil, EWZ. The portfolios were created with and without the EWZ and two procedures were adopted to weight the assets: (1) maximization of the Sharpe ratio and (2) allocation based on the proportion of GDP. An alternative method of selection of assets was presented, using the PMI manufacturing index as a decision filter for the allocation of the resources. The PMI is usually published on the first business day of each month, is researched in the major countries and is one of the first, if not the first, leading indicator of the economic cycle. When the PMI signaled economic growth, the portfolio consisted of a higher proportion of equities. To evaluate the performance of the proposed portfolio, it was compared to other three global portfolios that followed classical allocation strategies, and one of these was considered a benchmark. The proposed portfolio was also compared to a benchmark created exclusively with brazilian assets. The result suggests that the use of PMI as a decision filter in an active and internationally diversified portfolio using only foreign ETFs and weighted according to the techniques of Modern Portfolio Theory presented higher total return and Generalized Sharpe Ratio than the international and brazilian benchmarks. This result suggests that Brazilian and foreign investors and managers who adopt active management of their portfolios should include PMI as one of the indicators to be observed in the allocation strategy / O objetivo desta pesquisa ?? propor para os investidores brasileiros de alta renda um modelo de aloca????o din??mica com diversifica????o internacional que utiliza ETFs e o ??ndice PMI da manufatura. Foram selecionados ETFs de doze pa??ses, incluindo o ETF de renda vari??vel do Brasil, o EWZ. Foram criadas carteiras com e sem o EWZ e adotados dois procedimentos para ponderar os ativos: (1) maximiza????o do ??ndice de Sharpe e (2) aloca????o com base na propor????o do PIB. Foi apresentado um m??todo alternativo de sele????o de ativos, utilizando o ??ndice PMI da manufatura como filtro de decis??o para a aloca????o dos recursos. O PMI ?? divulgado, em geral, no primeiro dia ??til de cada m??s, ?? pesquisado nos principais pa??ses e ?? um dos primeiros, se n??o o primeiro, indicador antecedente do ciclo econ??mico. Quando o PMI sinalizou crescimento econ??mico, a carteira foi composta por maior propor????o de ativos de renda vari??vel. Para avalia????o da performance da carteira proposta, a mesma foi comparada a outras tr??s carteiras globais que seguiram estrat??gias cl??ssicas de aloca????o, sendo que uma destas foi considerada benchmark. A carteira proposta tamb??m foi comparada a um benchmark criado com ativos exclusivamente brasileiros. O resultado obtido sugere que o uso do PMI como filtro de decis??o em uma carteira ativa e diversificada internacionalmente usando somente ETFs estrangeiros e ponderados de acordo com as t??cnicas da Moderna Teoria de Portf??lio apresentou retorno total e ??ndice de Sharpe generalizado superiores ao benchmark internacional e ao benchmark brasileiro. Este resultado sugere que os investidores e os gestores brasileiros e estrangeiros que adotam a gest??o ativa de seus portf??lios poderiam incluir o PMI como um dos indicadores a serem observados na estrat??gia de aloca????o

Submitted by JOSIANE SANTOS DE OLIVEIRA (josianeso) on 2018-04-26T16:40:35Z No. of bitstreams: 1 Jayme Diego Silva Peixoto_.pdf: 3682873 bytes, checksum: e3f3b08ba12067f318cd31d90d3ae999 (MD5) / Made available in DSpace on 2018-04-26T16:40:35Z (GMT). No. of bitstreams: 1 Jayme Diego Silva Peixoto_.pdf: 3682873 bytes, checksum: e3f3b08ba12067f318cd31d90d3ae999 (MD5) Previous issue date: 2018-02-26 / CAPES - Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / A Gestão de Portfólio de Produtos tem atraído de maneira crescente o interesse de empresas e pesquisadores. Os esforços de pesquisa, por meio de evidências empíricas, indicam a necessidade de ampliação da aplicação de métodos formais para a Gestão de Portfólio de Produtos nas empresas. No entanto, são escassos os estudos na literatura que tratam de métodos direcionados à Revisão do Portfólio de Produtos. Pode-se observar nas publicações atuais, que questões conceituais e terminológicas acerca da Gestão de Portfólio de Produtos requerem atenção de pesquisadores. Portanto, é necessário identificar nos métodos para a Gestão de Portfólio de Produtos oportunidades para melhorar os resultados nas empresas. Para o desenvolvimento desta pesquisa utilizou-se a Design Science Research como abordagem metodológica. Este trabalho propõe um método financeiro de Revisão do Portfólio de Produtos, denominado Financial Method for the Product Portfolio Review, FMPPR, como parte integrante da Gestão de Portfólio de Produtos. Na elaboração do método proposto, foram avaliadas as relações da revisão do Portfólio de Produtos com a operação da empresa, com mercado consumidor e com o Processo de Desenvolvimento de Produtos. Finalmente, o método proposto foi aplicado em um ambiente empresarial para verificação de sua funcionalidade. Os resultados foram submetidos à análise de um grupo focal, que validou os avanços realizados propondo ajustes para a geração do artefato final desta dissertação. / Product Portfolio Management has increasingly attracted the interest of companies and researchers. The research efforts, through empirical evidence, indicate the need to extend the application of formal methods for the Product Portfolio Management in companies. However, there are scarce studies in the literature about methods directed to Product Portfolio Review. It can be observed in current publications that conceptual and terminological questions about Product Portfolio Management require the attention of researchers. Therefore, it is necessary to identify in the methods for the Product Portfolio Management opportunities to improve the results of the companies. For the development of this research, Design Science Research was used as a methodological approach. This project proposes a Financial Method for the Product Portfolio Review, called FMPPR as an integral part of Product Portfolio Management. In the elaboration of the proposed method, the relations between the Product Portfolio Review, the operation of the company, the consumer market and the Product Development Process were evaluated. Finally, the proposed method was applied in an enterprise environment to verify its functionality. The results were submitted to the analysis of a focal group, which validated the advances made proposing adjustments for the generation of the final artifact of this dissertation.

Submitted by Mariana Dornelles Vargas (marianadv) on 2015-05-28T19:38:08Z No. of bitstreams: 1 analise_processo.pdf: 4833608 bytes, checksum: 44324b393958b01c87ee362f1bf51872 (MD5) / Made available in DSpace on 2015-05-28T19:38:08Z (GMT). No. of bitstreams: 1 analise_processo.pdf: 4833608 bytes, checksum: 44324b393958b01c87ee362f1bf51872 (MD5) Previous issue date: 2011 / Nenhuma / Este trabalho aborda um estudo de caso efetuado em uma empresa multinacional, do ramo metal mecânico, fabricante de equipamentos de bens de capital destinados à construção e à pavimentação de rodovias. A pesquisa consiste em analisar a condução do processo de desenvolvimento de novos produtos - DNP -, identificar as lacunas e propor melhorias para aumentar a sua eficiência e eficácia. O incremento de eficiência e eficácia permite às empresas a busca pela vantagem competitiva no mercado em que atuam por: i) redução de desperdícios, de custos no produto e processo, e de tempo de lançamento do produto, sendo mais rápido do que o da concorrência; e ii) incremento de tecnologia e maturidade no desenvolvimento de novos produtos. Para que fosse possível avaliar o processo de DNP, estabeleceu-se uma estrutura hierárquica que norteia o referencial teórico apresentado, subdividida em projeto e produto. Com relação a projetos, aborda-se a importância do gerenciamento de projetos organizacional, estabelecendo-se a inter-relação entre gerenciamento de projetos, gestão da mudança e aprendizado organizacional. Com relação a produtos, aborda-se o referencial teórico sobre processos de desenvolvimento de produtos, cujas principais características são apresentadas, bem como sua evolução, desde o processo sequencial até os processos contemporâneos. Esse referencial teórico é de suma importância no estudo deste caso para que seja efetuado o diagnóstico do estado atual do processo de DNP, identificar as lacunas e a fragilidade desse processo, além de propor melhorias para o estado futuro. O método de pesquisa utilizado consiste de pesquisa qualitativa, representada pela aplicação de questionários com perguntas objetivas e descritivas, e execução de reuniões de grupo de foco e observação direta. O período de análise do processo ocorreu entre julho de 2007 e dezembro de 2010. A coleta de dados da pesquisa foi realizada entre julho e dezembro de 2010. Como conclusão, foram evidenciadas 18 oportunidades de melhorias de dimensão estratégica, tácita e operacional, e identificadas 8 perdas no fluxo do processo de DNP. Foram apresentadas sugestões de melhorias para aumento de eficiência e eficicácia no processo. / This paper discusses a case study carried out in a multinational company, industry, metal mechanic, a maker of equipment for capital goods for construction and road paving. It is to examine how it is being conducted the process of new product development, NPD, identify gaps and propose improvements to increase efficiency and effectiveness of that. Increased efficiency and effectiveness of this process allows companies to seek competitive advantage in working for 1) reduction, waste, product and process costs, reduced time for product launch, this faster than the competition, and 2) an increase of technology and maturity in developing new products. To enable it to evaluate a NPD process established a hierarchical structure that guides the theoretical framework presented. This is divided into project and product. With regard to projects is discussed the importance of project management organization which establishes the interrelation between project management, change management and organizational learning. With regard to products is discussed on the theoretical development processes of products, which are arepsentadas their main characteristics and evolution from the sequential processes to contemporary. This important theoretical contribution in the case study to make the diagnosis of the current state of the NPD process, this being identified gaps and weaknesses and propose improvements to the future state. The research methodology consists of qualitative research through the application of questionnaires with objective and descriptive exedcução of focus group meetings and direct observation. The period of analysis of the process is considered from July 2007 to December 2010. The implementation of the research was conducted between July 2010 to December 2010 to collect data. As a conclusion were found 18 opportunities for improvement with a strategic dimension, tacit and operational, identified the eight losses in the flow of the companys NPD process and made suggestions for improvements aimed at increasing their efficiency and effectiveness.

The work deals with the choice and implementation of an open source tool for managing a project portfolio management in the organization of o.s. Prostor. The first part of the work aims at theory description including examination of trends in project management tools and open source software. Project management and project portfolio management is increasingly important and increasingly used by companies and organizations in recent years. According to a new study made by Gartner, the use of open source software continues to grow and becomes competitive differently. The main aim of the work was to successfully implement one selected open source tool to the organization that I have found at an early stage. After finding the suitable company, I started to do the main part of my work i.e. the implementation of a selected open source tool for managing projects and its portfolio in this company. This phase started from the choice of the most suitable instrument, by means of analysis of the selected organization, o.s. Prostor, to the final design and implementation itself. I made analysis of the organization and on its basis I chose suitable criteria and their weights for the later selection of a suitable tool. I performed the choice based on multi-criteria analysis in order to maximum objectively select a suitable open source tool for implementation. None of the existing instruments fully met the requirements of the organization o.s. Prostor. Therefore, I assessed finally selected web2project tool in detail and made a proposal for additional programming of missing functionality. After completion of the missing functionality additional programming, I made a proposal of a web2project tool implementation procedure. I suggested four stages of the implementation procedure, which consists of the preparation for the installation environment, the way how to install the tool on the server, planning necessary capacity, and finally training including creation of a demonstration project. Finally, based on this proposal, I installed the tool web2project on the server and run testing and validation of the tool. When performing this work, I gained a lot of valuable experience in all relevant phases of the project cycle management from management to the implementation itself. The organization intends to fully operate the tool early next year, 2012, when they can begin to enter new projects.

A partir dos anos 2000 houve uma significativa mudança no cenário global da manufatura, no sentido de induzir as empresas a trabalhar dentro de ambientes colaborativos, os quais necessitam de soluções mais integradas ao \'modelo de empresa estendida\' para colaborar a organização como um todo, incluindo parceiros, fornecedores e clientes. Na atualidade, as atividades de planejamento e gerenciamento dos processos de manufatura necessitam levar em consideração a dispersão de recursos (do ponto de vista sistema), que engloba inclusive o conhecimento e a informação. Um problema de grande importância está na \'conexão\' (interface) entre as engenharias, os ambientes de produção e os ambientes de operações comerciais, principalmente na precisão do compartilhamento de dados. Como proposta de solução deste problema a pesquisa tem como contribuição a criação do modelo de referência denominado PLM2M (PLM to Manufacturing), suportado pelas iniciativas da manufatura digital DM (Digital Manufacturing) do PLM (Product Lifecycle Management), que envolvem \'simulação\' e \'procedimentos colaborativos\', principalmente para as atividades de planejamento e gerenciamento de processos de manufatura, consideradas o \'elo\' entre o desenvolvimento de produtos, o gerenciamento do chão de fábrica e o planejamento e controle da produção. O modelo de referência PLM2M tem como objetivo integrar as áreas que participam do processo de manufatura. Está fundamentado em um conjunto de procedimentos que explora estratégias de modelagem de fluxos de trabalho WfMS (Workflow Management System) e arquitetura TIC (Tecnologia da Informação e Comunicação), a modelagem de processos de negócios, as definições de produto, o layout de plantas industriais, os recursos (máquinas e dispositivos, matéria-prima e pessoas), o sequenciamento das operações de produção (que releva a demanda e envolve volume, variedade e prazos), e ainda, o controle e gerenciamento das informações de chão de fábrica. O modelo PLM2M estabelece relação com a gestão de portfólio de programas e projetos no ciclo de vida de produtos (PLM) e tem o propósito de oferecer melhoria de produtividade, ajuste de capacidade de produção e melhor reuso dos ativos da planta, proporcionando melhores \'time-to-market\' de produtos. Para implementar o modelo PLM2M considera-se a hipótese de que esse modelo deve ser aplicado em cenários de planejamento e gerenciamento de processos de manufatura para ambientes complexos e dispersos e que estejam engajados dentro de critérios de avaliação (assessment) de modelos de maturidade e capabilidade em relação ao uso do PLM e Manufatura Digital. / Since 2000, there has been a significant change in the global scenario of manufacturing, in order to induce companies to work within collaborative environments, which require more integrated solutions to the \'extended enterprise model\' to collaborate the organization as a whole, including partners, suppliers and customers. In the current days, the activities of manufacturing process planning and management need to take into account the dispersion of resources (from the point of view system), which includes the knowledge and information. A problem of great importance is the \'connection\' (interface) among the engineering, the production environments and the commercial operations environments, mainly in the accuracy of the data sharing. As a proposal for solve this problem the research presents as a contribution the creation of the reference model called PLM2M (PLM to Manufacturing), supported by initiatives of Digital Manufacturing (DM) of PLM (Product Lifecycle Management), that involves \'simulation\' and \'collaborative procedures\', principally for activities of manufacturing processes planning and management, considered the \'link\' among the products development, the shop floor management and the production planning and control. The PLM2M reference model has as objective to integrate the areas that participate in the manufacturing process. It is based on a set of procedures that explores workflows modeling strategies WfMS (Workflow Management System) and ICT (Information and Communication Technology) architecture, the business processes modeling, the product definitions, the layout of industrial plants, the resources (machines and devices, raw materials and people), the sequencing of production operations (which takes into account the demand and involves volume, variety and lead-time), and yet, the shop floor information control and management. The PLM2M model establishes relationship with the portfolio management of programs and projects in the product lifecycle management (PLM) and has the purpose to provide productivity improvement, adjustment of production capacity and better reuse of plant assets, providing better \'time-to-market\' of products. To implement the PLM2M model, it is important to consider the hypothesis that this model should be applied in manufacturing process planning and management scenarios for complex and dispersed environments and that are engaged within assessment criteria of maturity and capability models in relation to the use of PLM and Digital Manufacturing.

<p>The Swedish National Debt Office (SNDO) is the Swedish Government’s financial administration. It has several tasks and the main one is to manage the central government’s debt in a way that minimizes the cost with due regard to risk. The debt management problem is to choose currency composition and maturity profile - a problem made difficult because of the many stochastic factors involved. </p><p>The SNDO has created a simulation model to quantitatively analyze different aspects of this problem by evaluating a set of static strategies in a great number of simulated futures. This approach has a number of drawbacks, which might be handled by using a financial optimization approach based on Stochastic Programming. </p><p>The objective of this master’s thesis is thus to apply financial optimization on the Swedish government’s strategic debt management problem, using the SNDO’s simulation model to generate scenarios, and to evaluate this approach against a set of static strategies in fictitious future macroeconomic developments. </p><p>In this report we describe how the SNDO’s simulation model is used along with a clustering algorithm to form future scenarios, which are then used by an optimization model to find an optimal decision regarding the debt management problem. </p><p>Results of the evaluations show that our optimization approach is expected to have a lower average annual real cost, but with somewhat higher risk, than a set of static comparison strategies in a simulated future. These evaluation results are based on a risk preference set by ourselves, since the government has not expressed its risk preference quantitatively. We also conclude that financial optimization is applicable on the government debt management problem, although some work remains before the method can be incorporated into the strategic work of the SNDO.</p>

<p>This thesis grew out of a problem encountered by a subsidiary of a Swedish multinational industrial corporation. This subsidiary is responsible for the corporation’s customer financing activities. In the thesis, we refer to these entities as the Division and the Corporation. The Division needed to find a new approach to finance its customer loan portfolio. Risk control and return maximization were important aspects of this need. The objective of this thesis is to devise and implement a method that allows the Division to make optimal funding decisions, given a certain risk limit. </p><p>We propose a funding approach based on stochastic programming. Our approach allows the Division’s portfolio manager to minimize the funding costs while hedging against market risk. We employ principal component analysis and Monte Carlo simulation to develop a multicurrency scenario generation model for interest and exchange rates. Market rate scenarios are used as input to three different optimization models. Each of the optimization models presents the optimal funding decision as positions in a unique set of financial instruments. By choosing between the optimization models, the portfolio manager can decide which financial instruments he wants to use to fund the loan portfolio. </p><p>To validate our models, we perform empirical tests on historical market data. Our results show that our optimization models have the potential to deliver sound and profitable funding decisions. In particular, we conclude that the utilization of one of our optimization models would have resulted in an increase in the Division’s net income over the past 3.5 years.</p>

This thesis grew out of a problem encountered by a subsidiary of a Swedish multinational industrial corporation. This subsidiary is responsible for the corporation’s customer financing activities. In the thesis, we refer to these entities as the Division and the Corporation. The Division needed to find a new approach to finance its customer loan portfolio. Risk control and return maximization were important aspects of this need. The objective of this thesis is to devise and implement a method that allows the Division to make optimal funding decisions, given a certain risk limit. We propose a funding approach based on stochastic programming. Our approach allows the Division’s portfolio manager to minimize the funding costs while hedging against market risk. We employ principal component analysis and Monte Carlo simulation to develop a multicurrency scenario generation model for interest and exchange rates. Market rate scenarios are used as input to three different optimization models. Each of the optimization models presents the optimal funding decision as positions in a unique set of financial instruments. By choosing between the optimization models, the portfolio manager can decide which financial instruments he wants to use to fund the loan portfolio. To validate our models, we perform empirical tests on historical market data. Our results show that our optimization models have the potential to deliver sound and profitable funding decisions. In particular, we conclude that the utilization of one of our optimization models would have resulted in an increase in the Division’s net income over the past 3.5 years.