Detta examensarbete i samhällsbyggnadsteknik belyser hur framåtblickande utvärderingsmetoder kan bidra till mer välgrundade beslut i den översiktliga planeringsprocessen. Den nya komplexa verkligheten med tilltagande klimatförändringar och allt fler parametrar att väga in i beslutsprocessen ställer hårdare krav på oss planerare i uppgiften att leda samhällsutvecklingen i en hållbar riktning. Agenda 2030 och de nationella miljömålen ska vara vår vägvisare i hållbarhetsfrågan, men vi behöver klargöra och konkretisera hur vi väger in och hanterar dessa i våra ställningstaganden. I denna uppsats undersöks möjligheten till en mer tydlig och proaktiv planering genom att i tidigt skede tillämpa metoder för utvärdering. Föreliggande fallstudie analyserar och jämför utvärderingsmetoder utifrån flertalet kriterier där fokus ligger på hur väl de hanterar intressekonflikter kopplat till bebyggelseutveckling. Vidare analyseras tre kommunala översiktsplaner med syftet att ge en bild av hur arbetet bakom besluten ser ut i verkligheten. Av studien framkommer att arbete med utvärderingsmetodik i översiktsplaneringen idag är ett relativt outtalat arbetsmoment. Studien påvisar att de metoder som förespråkas ofta är för tidkrävande och tekniskt avancerade för att kunna tillämpas i planeringpraktiken. Av innehållsanalysen framgår att transparens tillsammans med omfattande planeringsunderlag ger väl motiverade beslut, vilket är gynnsamt för översiktsplanens vägledande funktion. Avslutningsvis uppmuntras vidare studier för att bemöta kommunernas behov av mer flexibla och flerdimensionella metoder anpassad för en långsiktigt hållbar samhällsplanering. / This essay in spatial planning sheds light on how forward-looking evaluation methods can contribute to more well-founded decisions in the comprehensive planning process. The new complex reality with increasing climate changes and more parameters to consider in decisionmaking, require stricter demands on us planners in the task of leading community development in a sustainable direction. Agenda 2030 and the national environmental goals must guide us regarding sustainability issues, but we need to clarify and concretize this in decision making. This study examines the possibility of more distinct and proactive planning by applying methods for evaluation at an early stage. The present case study analyzes and compares evaluation methods based on several criteria where the focus is on how well they handle conflicts of interest linked to building development. Furthermore, three municipal masterplans are analyzed with the aim of visualizing the work behind decisions in reality. The study indicates that work with evaluation methodology in general planning today is a relatively unspoken step in the process. It also points out that the methods that are advocated are often too time-consuming and technically advanced to be applied in planning practice. The content analysis shows that transparency, together with extensive planning documentation, provides well-motivated decisions, which is favorable for the general plan's guiding function. Finally, further studies are encouraged to meet the municipalities' need for more flexible and multidimensional methods adapted for long-term sustainable community planning.

We consider the research problem of quantitative support for decision making in supply chain network design (SCND). We first identify the requirements for a comprehensive SCND as (i) a methodology to select uncertainties, (ii) a stochastic optimisation model, and (iii) an appropriate solution algorithm. We propose a process to select a manageable number of uncertainties to be included in a stochastic program for SCND. We develop a comprehensive two-stage stochastic program for SCND that includes uncertainty in demand, currency exchange rates, labour costs, productivity, supplier costs, and transport costs. Also, we consider conditional value at risk (CV@R) to explore the trade-off between risk and return. We use a scenario generator based on moment matching to represent the multivariate uncertainty. The resulting stochastic integer program is computationally challenging and we propose a novel iterative solution algorithm called adaptive scenario refinement (ASR) to process the problem. We describe the rationale underlying ASR, validate it for a set of benchmark problems, and discuss the benefits of the algorithm applied to our SCND problem. Finally, we demonstrate the benefits of the proposed model in a case study and show that multiple sources of uncertainty and risk are important to consider in the SCND. Whereas in the literature most research is on demand uncertainty, our study suggests that exchange rate uncertainty is more important for the choice of optimal supply chain strategies in international production networks. The SCND model and the use of the coherent downside risk measure in the stochastic program are innovative and novel; these and the ASR solution algorithm taken together make contributions to knowledge.

DeMiguel, Garlappi e Uppal (2009) fizeram a comparação da regra 1/N ou de Talmud com 14 modelos de otimização que vieram depois do trabalho de Markowitz (1952). As conclusões mostraram que todos os modelos de alocação ótima analisados tiveram um desempenho inferior ao da regra de Talmud. Tu e Zhou (2011) propuseram uma combinação entre Markowitz e Talmud para que tal modelo superasse Talmud. Os resultados obtidos foram satisfatórios. A desconsideração dos eventos extremos (dependência assimétrica ou caudal) durante o processo de construção de carteiras poderá diminuir as habilidades dos gestores de ativos em reduzir o risco através da diversificação. A modelagem de cópulas sobre os retornos dos ativos nos permite calcular uma alternativa para medir a dependência dos ativos em eventos extremos através do índice de dependência caudal inferior. Hatherley e Alcock (2007) relataram que o modelo de Markowitz tende a subestimar as perdas potenciais que venham a ocorrer na presença de eventos extremos de mercado (crashes) para um determinado nível de retorno esperado. Verificamos se as estratégias com dependência caudal superaram Talmud, o modelo de Markowitz e o modelo de Tu e Zhou (2011) através da simulação de 1.000 carteiras com 3, 5, 10 e 20 ativos escolhidos ao acaso do índice DJIA no período de 03/1990 até 12/2012. Concluímos que os modelos de dependência caudal e o de Markowitz tiveram uma desempenho fora da amostra superior ao Talmud e ao modelo de Tu e Zhou (2011) para as carteiras com 3, 5, 10 e 20 ativos. A estratégia com dependência caudal superou Markowitz, em termos de retorno acumulado, em mais de 60% dos meses considerados em todas as análises. Os resultados apontam que a regra de Talmud deve ser descartada num contexto de construção de carteiras com ações frente à estratégia com dependência caudal. / DeMiguel, Garlappi and Uppal (2009) made a comparison of rule 1 / N or Talmud with most optimization techniques that followed the work of Markowitz (1952). The conclusions were devastating for all asset allocation models in the context of portfolios combined with other portfolios. Tu and Zhou (2011) proposed a combination between Markowitz and Talmud to overcome such a rule Talmud. The results were satisfactory. In the presence of extreme events, the Pearson correlation coefficient tends to increase in magnitude, making spurious results diversification based solely on this factor. The elimination of extreme events (asymmetric or tail dependence) during the portfolio construction process can reduce the skills of asset managers to reduce risk through diversification. The copula theory allows us to calculate an alternative to measure the dependence of extreme events in assets through the index lower tail dependence. Hatherley and Alcock (2007) reported that the Markowitz model tends to underestimate the potential losses that may occur in the presence of extreme market events (crashes) for a given level of expected return. We check that the strategies with tail dependence overcame Talmud rule, the Markowitz model and the model of Tu and Zhou (2011) by simulating 1,000 portfolios with 3, 5, 10 and 20 randomly selected assets from DJIA for the period 03/1990 until 12/2012. We conclude that models of tail dependence and Markowitz had more performance ex-ante than Talmud and the Tu and Zhou (2011) model for portfolios with 3, 5, 10 and 20 assets. Tail dependence models overcome Markowitz, in terms of cumulative return, in over 60% of months considered in the analysis. The results indicate that the Talmud rule should be discarded in a context of constructing portfolios with individual stocks ahead strategies with tail dependence.

Recent World Animal Health Organization (OIE) reports on Avian Influenza (AI) outbreaks in Asia, Europe and Canada suggest that there is a nonzero probability that an outbreak may occur anywhere in the world, including the US. To help evaluate possible policy in the face of such an event, this dissertation does an economic evaluation of the implications of using two mitigation strategies: one corresponding to the currently response strategy; and the other an OIE recommended one utilizing vaccination. To do this, the dissertation develops and uses an integrated economic-epidemic model. In this effort, I first estimate the cost of an AI outbreak under a deterministic disease spread assumption where a new vaccination strategy and the current strategy are compared. Subsequently, I introduce risk in the model and construct 95 percent confidence intervals for the outbreak costs, and I rank the outcomes of the alternative strategies using stochastic dominance criteria. In addition, during both phases, I develop and estimate the breakeven probability for an event where ex-ante fixed costs of vaccine stockpiling are justified by the reduction in disease event damages. Results under deterministic disease spread assumption suggest that the vaccination strategy lowers the cost of outbreaks as opposed to the current strategy. This happens because vaccination reduces the number of culled and quarantined flocks. The study is conducted in three locations, yielding the finding that the costs of an outbreak vary depending on the densities of poultry flocks. I also find that when consumer demand shifts due to the outbreak, the costs are much larger. Finally, I find that ex-ante vaccine stockpiling is justified for all the sub-regions if the probability of outbreak exceeds 0.07. The stochastic disease spread assumption results also show that the vaccination strategy dominates in first degree stochastic dominance sense. Consistent with stochastic dominance results, the 95 percent confidence intervals have narrower ranges under the vaccination strategy than without it. Finally, the distribution of the breakeven probability for vaccine stocking has a mode of 0.07 and that the probability is accurate with 82 percent likelihood. However, the threshold varies with the disease transmission parameters and could reach up to 0.32.

Self governance has proved to be a suitable instrument for the management of a common pool resource like fisheries. Under self governance, individuals organize themselves for the use of a resource, to deal with problems derived from the free access: overexploitation and low profit levels. Although there is a large amount of research devoted to investigate the common pool resources and self governance, there are two areas that represent a gap in the current research. One, what are the main variables related to likely self governance adoption? Two, how is the potential for self governance related to the economic efficiency of the resource users? Unlike most of previous research that involves ex-post analysis, this is an ex-ante assessment of the potential for self governance for management of a common pool resource: a small-scale fishery located in Mexico. This research hypothesizes a positive relationship between fisher's technical efficiency and the likely adoption of self governance for the management of the fishery. Taking a set of theoretical conditions, this research assesses the fishers' perception on the adoption of self governance. Further, a stochastic frontier analysis is applied to estimate the technical efficiency of each fisher. Finally, a relationship between the potential for self governance with technical efficiency, revenue, and other variables such as education and fisher experience is explored. The results show no significant effect of technical efficiency and revenue on the potential for self governance, as well a weak positive effect of fisher experience on the likelihood for self governance adoption. The findings of this research may be useful to improve the efficiency of the fishing activity and encourage the adoption of self governance in the study site. The method proposed in this research is based on attitudes of the fishers, and it represents a step toward understanding apriori whether self governance would be implementable or not. Thus, as an ex-ante assessment, it is hoped to help predicting individual's behavior to deal with the overexploitation and low income levels derived from the use of a common pool resource.

The author used Put-Call-Futures Parity, Arbitrage-Free, Ex-ante Tests and Ex-post Tests to examine the arbitrage opportunity and market efficiency of the TAIEX index futures (TX) and the TAIEX index options (TXO) in this paper, during the period of December 24th, 2001 to December 31st, 2002. The author first, used daily closing prices to test for the existence of possible arbitrage opportunities. Second, she used ex-ante tests and arbitrage strategy to examine the arbitrage opportunity whether it exists or not with a time lag. Furthermore, The author classified the samples which exist ex-post arbitrage profit into five sub-samples according to call options positions belonging to near-the-money and far-from-the-money, futures positions belonging to positive basis and negative basis, markets belonging to bull markets and bear markets, and different margin requirement. She used ex-post and ex-ante tests to compare the results of over-all markets samples with the sub-samples, then, she also examined the results of included transaction cost or not. The major findings are as follows: 1. Whether taking into transaction cost or not, the TAIEX index futures and the TAIEX index options markets have arbitrage opportunity¡Aand so the markets unefficient. 2. The results of ex-ante tests and the average of arbitrage profit are positive for time to increase. 3. The long arbitrage strategy generates a higher arbitrage profit than the short arbitrage strategy. 4. The investors could proceed arbitrage profit during markets belonging to positive basis and bear market and low margin requirement.

This research aims to identify the determinants of the ex-ante risk premium required by Italian private equity funds (PEFs) when valuing privately-held target companies. In theory, perceived risk is a key driver of expected returns and anticipated value, but: "Although PE (private equity) has experienced rapid growth, the risk and return profile of this asset class is not well understood." (Jegadeesh et al., 2009). Some papers have attempted to assess the ex post returns pioneered by Lerner & Gompers (1997). Yet such studies reveal both contradictory conclusions and hitherto inexplicable phenomena: what some authors call the 'private equity premium puzzle' (Moskowitz & Jorgensen, 2000). Such contradictory conclusions include a wide spread of abnormal realized returns ranging from -6% (Phalippou & Gottschalg, 2009) to +32% (Cochrane, 2005). In this research, the perceived risk and expected return drivers refer not to the ex-post realized return that PEF investors actually achieve, but to the required return the PEF hopes to gain from the target investment. At this stage, two important indicators adopted in PEF parlance have to be differentiated: (i) the Expected IRR (E.IRR) and (ii) the Threshold IRR (T.IRR). The first is the IRR as an output of a business plan, and the second assesses the return expected by PEFs according to the risk perceived in the business plan. Put simply, these are respectively, the anticipated return and the (risk-adjusted) required return. The study of the T.IRR is one of the main contributions of this thesis since it has never been studied before by academia as an indicator of the ex-ante perceived risk of a PEF target company. This is partly due to two important reasons. First, most previous papers examine ex-post performance, and only a few (e.g. Manigart et al., 2002), try to assess return expectations and risk perceptions using an ex-ante perspective. Second, most of the prior studies are quantitative and try to measure statistical effects captured by the ex-post IRR. By studying 26 deals (in 13 Italian PEFs) in detail (qualitatively and quantitatively), this research project has been able to observe how PEFs assess risk and estimate the T.IRR. The research project reveals that PEFs apply neither rational-based models nor explicit formulae to assess risk exante. By observing a set of phenomena unique to the PEF sector (fees effect, investment speed effect, persistence effect, money-chasing deal phenomenon, illiquidity effect, etc) whose existence has been suggested by many recent papers, this thesis has been able to propose an adjusted version of the three-factor model of Fama and French (1993, 1995) to assess risk. The application of a quasi-rational-based asset pricing model to guide PEFs assessments is also an important contribution of this thesis. In fact, Franzoni, Nowak and Phalippou (2010), claim to be the first to calculate the PEFs' cost of capital by applying asset pricing models. However, their approaches are not only based on the observations of realized returns, but also consider only one additional factor to the standard Fama & French three-factor model (1993), the liquidity factor. In contrast, the results and the model proposed by this thesis are based on qualitative and quantitative ex-ante information and include not only the classical factors of that model, but also some other factors intended to explain some of the phenomena listed above which might also drive the risk premium in private equity funds. Based, therefore, on explaining the behavior of PEFs, the research develops a framework that can be applied by Italian PEFs and perhaps other PEFs in a more rational manner than their past behavior suggests.

No description available.

The purpose of the study is to evaluate and describe how three large companies with Swedish presence have coped with the investment appraisal ex-ante a purchase of a BI system. Further, the paper strives to investigate how the companies evaluated the perceived benefits, which are of intangible nature and hence difficult to quantify.

DeMiguel, Garlappi e Uppal (2009) fizeram a comparação da regra 1/N ou de Talmud com 14 modelos de otimização que vieram depois do trabalho de Markowitz (1952). As conclusões mostraram que todos os modelos de alocação ótima analisados tiveram um desempenho inferior ao da regra de Talmud. Tu e Zhou (2011) propuseram uma combinação entre Markowitz e Talmud para que tal modelo superasse Talmud. Os resultados obtidos foram satisfatórios. A desconsideração dos eventos extremos (dependência assimétrica ou caudal) durante o processo de construção de carteiras poderá diminuir as habilidades dos gestores de ativos em reduzir o risco através da diversificação. A modelagem de cópulas sobre os retornos dos ativos nos permite calcular uma alternativa para medir a dependência dos ativos em eventos extremos através do índice de dependência caudal inferior. Hatherley e Alcock (2007) relataram que o modelo de Markowitz tende a subestimar as perdas potenciais que venham a ocorrer na presença de eventos extremos de mercado (crashes) para um determinado nível de retorno esperado. Verificamos se as estratégias com dependência caudal superaram Talmud, o modelo de Markowitz e o modelo de Tu e Zhou (2011) através da simulação de 1.000 carteiras com 3, 5, 10 e 20 ativos escolhidos ao acaso do índice DJIA no período de 03/1990 até 12/2012. Concluímos que os modelos de dependência caudal e o de Markowitz tiveram uma desempenho fora da amostra superior ao Talmud e ao modelo de Tu e Zhou (2011) para as carteiras com 3, 5, 10 e 20 ativos. A estratégia com dependência caudal superou Markowitz, em termos de retorno acumulado, em mais de 60% dos meses considerados em todas as análises. Os resultados apontam que a regra de Talmud deve ser descartada num contexto de construção de carteiras com ações frente à estratégia com dependência caudal. / DeMiguel, Garlappi and Uppal (2009) made a comparison of rule 1 / N or Talmud with most optimization techniques that followed the work of Markowitz (1952). The conclusions were devastating for all asset allocation models in the context of portfolios combined with other portfolios. Tu and Zhou (2011) proposed a combination between Markowitz and Talmud to overcome such a rule Talmud. The results were satisfactory. In the presence of extreme events, the Pearson correlation coefficient tends to increase in magnitude, making spurious results diversification based solely on this factor. The elimination of extreme events (asymmetric or tail dependence) during the portfolio construction process can reduce the skills of asset managers to reduce risk through diversification. The copula theory allows us to calculate an alternative to measure the dependence of extreme events in assets through the index lower tail dependence. Hatherley and Alcock (2007) reported that the Markowitz model tends to underestimate the potential losses that may occur in the presence of extreme market events (crashes) for a given level of expected return. We check that the strategies with tail dependence overcame Talmud rule, the Markowitz model and the model of Tu and Zhou (2011) by simulating 1,000 portfolios with 3, 5, 10 and 20 randomly selected assets from DJIA for the period 03/1990 until 12/2012. We conclude that models of tail dependence and Markowitz had more performance ex-ante than Talmud and the Tu and Zhou (2011) model for portfolios with 3, 5, 10 and 20 assets. Tail dependence models overcome Markowitz, in terms of cumulative return, in over 60% of months considered in the analysis. The results indicate that the Talmud rule should be discarded in a context of constructing portfolios with individual stocks ahead strategies with tail dependence.