Diploma thesis acquants reader about decision problems at Střední odborné škola informatika a spojů a Střední odborné učiliště Kolín. Chosen problem are desribed and analysed, but also variants of solution are created, so tehy can be used as an support to decision making for school manager. These problems are about getting new students, usage of unused rooms of dorm and school cafeteria. For creating variant of solutions Cobb-Douglas utility function is used, moreover the thesis teaches reader how to work with it, so a manager of school can use it for his own decision making proces. Diploma thesis was created by request of a principal Ing. Miloš Hölzl as he is awaiting the results.

The aim of this thesis is by using methods and practices of managerial decision-making process to choose suitable supplier and propose measures to reduce risk. The first section of the theoretical part deals with the different phases of the decision-making process. The second part is devoted to the procurement as one of the corporate functions. The practical part applies the managerial decision-making process on the current situation of a company producing fast moving consumer goods is looking for a new supplier of packaging material. Choice of supplier was performed by using a multi-criteria decision-making, first the decision criteria was defined, followed by a description of the alternatives and their consequences. Evaluation of the alternatives was based on the additive multi-criteria utility function, to determine the weights of the criteria was used method determining weights by preferential arrangements. From five potential vendors was recommended supplier A. The end of the practical part is devoted to proposals of measures to reduce the risk which company may face in the process of selection and also in the process of delivering of the material.

In einem wichtigen Beitrag „on self-interest and greed“ hat Gebhard Kirchgässner im Journal of Business Economics die zu beobachtende Verhaltensvielfalt von Wirtschaftssubjekten hinterfragt. Die ökonomische Standardannahme rationalen, egoistischen Verhaltens trifft die Realität nicht immer. Menschen handeln auch irrational, teils sozialorientiert und teils sozial desinteressiert, teils unmoralisch-gierig, teils aber auch altruistisch-großzügig. Welches Modell erklärt die Vielfalt? In diesem Beitrag wird die von Kirchgässner aufgezeigte Verhaltensvielfalt mit den Erkenntnissen abgeglichen, die sich aus der Hamiltonschen Fitnessthese und den Ergänzungen durch Trivers, Fiske und de Botton ergeben. Damit kann gezeigt werden, dass sich je nach Gruppe, in welcher sich ein Mensch bewegt, Verhaltensweisen einstellen, die von extrem prosozialem Verhalten (z.B. zur Statussicherung durch Vorbild oder aus Angst vor Sanktionen) bis zu sehr unsozial „gierigem“ Verhalten reichen. Der Nutzen dieser Sichtweise für die Ökonomik wird aufgezeigt. Es sind nur drei exogene Mechanismen nötig, die Verhaltensvielfalt zu erzeugen. / In an important article „on self-interest and greed” in the Journal of Business Economics, Gebhard Kirchgässner questioned the variety observed in the behavior of economic subjects. The economic standard assumption of rational, egoist behavior does not comply with reality in many cases. People act irrationally, socially oriented as well as socially uninterested, immorally-greedy as well as altruistically-generously. The variety is immense. The question occurs: which model is capable of explaining the diversity? In this article, the variety of human behavior is being compared to findings that emerge from Hamilton’s Fitness Thesis and extensions by Trivers, Fiske and de Botton. The Fitness Thesis lays the ground. Depending on the social group to which an individual belongs in a certain situation, behavior can vary from extremely prosocial (e. g. to maintain status or to avoid sanctions) to very unsocial-greedy. As any individual is part of many groups he or she can act prosocially with respect to one group and unsocially-greedy with respect to another, will say: greed and altruism is not a question of character but a consequence of the specific situation in which an individual acts. Merely three exogenous mechanisms are required to create the observed variety in behavior.

No description available.

Infrastructures are the most fundamental facilities and systems serving the society. Due to the existence of infrastructures in economic, social, and environmental contexts, all lifecycle phases of such fundamental facilities should maximize utility for the designers, occupants, and the society. With respect to the nature of the decision problem, two main types of uncertainties may exist: 1) the aleatory uncertainty associated with the nature of the built environment (i.e., the economic, social, and environmental impacts of infrastructures must be described as probabilistic); and 2) the epistemic uncertainty associated with the lack of knowledge of decision maker utilities. Although a number of decision analysis models exist that consider the uncertainty associated with the nature of the built environment, they do not provide a systematic framework for including aleatory and epistemic uncertainties, and decision maker utilities in the decision analysis process. In order to address the identified knowledge gap, a three-phase modular decision analysis methodology is proposed. Module one uses a formal preference assessment methodology (i.e., utility function/indifference curve) for assessing decision maker utility functions with respect to a range of alternative design configurations. Module two utilizes the First Order Reliability Method (FORM) in a systems reliability approach for assessing the reliability of alternative infrastructure design configurations with respect to the probabilistic decision criteria and decision maker defined utility functions (indifference curves), and provides a meaningful feedback loop for improving the reliability of the alternative design configurations. Module three provides a systematic framework to incorporate both aleatory and epistemic uncertainties in the decision analysis methodology (i.e., uncertain utility functions and group decision making). The multi-criteria, probabilistic decision analysis framework is tested on a nine-story office building in a seismic zone with the probabilistic decision criteria of: building damage and business interruption costs, casualty costs, and CO2 emission costs. Twelve alternative design configurations and four decision maker utility functions under aleatory and epistemic uncertainties are utilized. The results of the decision analysis methodology revealed that the high-performing design configurations with an initial cost of up to $3.2M (in a cost range between $1.7M and $3.2M), a building damage and business interruption cost as low as $303K (in a cost range between $303K and $6.2M), a casualty cost as low as $43K (in a cost range between $43K and $1.2M), and a CO2 emission as low as $146K (in a cost range between $133K to $150K) can be identified by having a higher probability (i.e., up to 80%) of meeting the decision makers' preferences. The modular, holistic, decision analysis framework allows decision makers to make more informed performance-based design decisions—and allows designers to better incorporate the preferences of the decision makers—during the early design process. / PHD / Infrastructures, including buildings, roads, and bridges, are the most fundamental facilities and systems serving the society. Because infrastructures exist in economic, social, and environmental contexts, the design, construction, operations, and maintenance phases of such fundamental facilities should maximize value and usability for the designers, occupants, and the society. Identifying infrastructure configurations that maximize value and usability is challenged by two sources of uncertainty: 1) the nature of the built environment is variable (i.e., whether or not a natural hazard will occur during the infrastructure lifetime, or how costs might change over time); and 2) there is lack of knowledge of decision maker preferences and values (e.g., design cost versus social impact tradeoffs). Although a number of decision analysis models exist that consider the uncertainty associated with the nature of the built environment (e.g., natural hazard events), they do not provide a systematic framework for including the uncertainties associated with the decision analysis process (e.g., lack of knowledge about decision maker preferences), and decision maker requirements in the decision analysis process. In order to address the identified knowledge gap, a three-phase modular decision analysis methodology is proposed. Module one uses a formal preference assessment methodology for assessing decision maker values with respect to a range of alternative design configurations. Module two utilizes an algorithm for assessing the reliability of alternative infrastructure design configurations with respect to the probabilistic decision criteria and decision maker requirements, and provides a meaningful feedback loop for understanding the decision analysis results (i.e., improving the value and usability of the alternative design configurations). Module three provides a systematic framework to incorporate both the random uncertainty associated with the built environment and the knowledge uncertainty associated with lack of knowledge of decision maker preferences, and tests the reliability of the decision analysis results under random and knowledge uncertainties (i.e., uncertain decision maker preferences and group decision making). The holistic decision analysis framework is tested on a nine-story office building in a seismic zone with the probabilistic decision criteria of: building damage and business interruption costs, casualty costs, and CO2 emission costs. Twelve alternative design configurations, four decision makers, and random and knowledge sources of uncertainty are considered in the decision analysis methodology. Results indicate that the modular, holistic, decision analysis framework allows decision makers to make more informed design decisions—and allows designers to better incorporate the preferences of the decision makers—during the early design process.

[pt] Na última década, o setor elétrico brasileiro tem enfrentado desafios regulatórios e operacionais devido à necessidade de adaptação às mudanças na matriz elétrica, que apresenta uma participação crescente de energias renováveis intermitentes, como a solar fotovoltaica e a eólica. Além disso, restrições sociais e ambientais para a construção de novos reservatórios hidrelétricos exigem o desenvolvimento de novos modelos para a gestão do risco hidrológico. Esta tese é composta por quatro estudos e tem como objetivo desenvolver modelos de apoio à decisão que contribuam para a gestão do sistema interligado nacional e para a otimização de processos relevantes do setor, considerando o cenário atual. O primeiro estudo, ao definir uma metodologia de acesso aos parâmetros do funcional ECP_G, contribui para a inovação e o aprimoramento de modelos teóricos, com resultados práticos para o setor. O segundo estudo contribui para o processo de sazonalização da garantia física e revela uma estratégia ótima que maximiza simultaneamente os resultados dos agentes geradores, prevenindo reduções nos payoffs resultantes de movimentos individuais de concorrentes. O terceiro estudo propõe um modelo de otimização de portfólio de comercialização, que permite aos agentes uma exposição adequada ao risco, contribuindo para uma gestão comercial mais eficiente. Finalmente, o quarto estudo apresenta um modelo de operação de uma bolsa de futuros de energia, fornecendo informações relevantes para agentes interessados em implementar um empreendimento desse tipo no Brasil, que ainda não possui uma bolsa de futuros de energia. / [en] In the last decade, the Brazilian electricity sector has faced regulatory and operational challenges due to the need to adapt to changes in the energy matrix, which shows a growing share of intermittent renewable energies, such as solar photovoltaic and wind energy. Additionally, social and environmental restrictions on the construction of new hydroelectric reservoirs require the development of new models for hydrological risk management. This thesis comprises four studies and aims to develop decision support models that contribute to the management of the national interconnected system and the optimization of relevant processes in the sector, considering the current scenario. The first study, by defining a methodology for accessing the parameters of the ECP_G functional, contributes to the innovation and improvement of theoretical models, with practical results for the sector. The second study contributes to the process of seasonalizing the physical guarantee and reveals an optimal strategy that simultaneously maximizes the results of generating agents, preventing reductions in payoffs resulting from individual movements of competitors. The third study proposes a commercialization portfolio optimization model, which allows agents to adequately expose themselves to risk, contributing to more efficient commercial management. Finally, the fourth study presents an operational model for an energy futures clearing house, offering valuable insights for stakeholders interested in establishing such a project in Brazil, where no energy futures clearing house currently exists.

投資型商品連動於特定資產，保險人除了面臨原有的核保風險，更需承擔部分的財務風險。傳統保險商品的純保費價格等於其預期損失，而投資型商品的保險給付依據投資標的波動，保險人的預期損失不易估算，傳統精算的評價方法不完全適用於投資型商品。保證最低給付的給付結構使得投資型商品其有選擇權的特質，Brennan與Schwartz(1976)首先利用選擇權定價理論探討附有保證最低給付投資型商品之價值與避險策略，爾後亦有許多文獻以此方向加以著墨，但選擇權定價理論是基於市場為完全市場的假設，保險市場為不完全市場，以完全市場假設之理論評定保險商品之價值實不合理。本為假設保險人面臨的風險為核保風險及財務風險，財務市場為完全市場，保險人可以藉由市場上的各種金融商品建構避險組合規避財務風險；而預期死亡人數與實際死亡人數所產生的核保誤差，保險人無法利用避險組合完全地規避，因此保險市場為不完全市場。 在不完全市場中請求權的價值牽涉投資者主觀的風險偏好，不存在唯一的平賭測度，請求權的價格也不唯一，最適避險策略依請求權的價格調整，所以投資型保險商品的價格不再等於其公平價值，真正的成交價格應落於買賣價差之中。本文引用Mercurio(1996)的結果，利用二次效用函數，以極大化保險人期末財富之效用為目標，建構生存險的合理價格範圍。以二元樹模型描述股票的波動，分別模擬五年、十年及十五年投資型生存險之價差範圍，保險人的風險規避程度、保單期限以及保證金額的高低將影響商品價差範圍的大小。 關鍵字：不完全市場、效用函數，買賣價差、最適避險策略 / Investment-linked life (LIL) insurance policies integrate the attributes from the mutual fund by introducing the investment options to the policyholders and life insurance through the benefit payments shielding the unexpected events of the insured. Since the execution of the implied options depends on the policyholder's health status. Actuarial equivalent principal and non-arbitrage pricing theory are used in evaluating the prices for LIL insurance policies. Brennan and Schwartz (1976) initially employ the option pricing theory in examining the pricing and hedging strategy for LIL insurance policies with minimum guarantees. Most published literatures are focusing on this issue adopting the B-S methodology. Since the values of the LIL policies cannot be replicated uniquely through the self-financing strategies due to underwriting risks of the insurance market. Insurance market does not satisfy the completeness assumptions, Due to lack of a unique martingale measure under market incompleteness, the utility assumption of the policyholder is involved in the pricing issue. Insurance pricing must consider the risk attitude of the investors in the market. Hence the cost the LIL insurance policies are not necessarily equal to the fair market prices. The market value should fall within the range of the bid and ask prices. In this study, we follow the approach in Mercurio (1996) by adopting the quadratic utility function and compute the reasonable range of the prices based on maximizing the terminal health utility function. Binary tree method is used in modeling the asset dynamics. Then the numerical computations are performed using endowment LIL insurance policies with 5, 10 and 15 years of duration. Based on the results, we find that the risk attitude of the policyholder, the policy duration and minimum amounts of the guarantees significantly affect the bid-ask price spread of LIL insurance policies. Keywords: market incompleteness; utility function; bid-ask spread; optimal hedging strategy.

本研究探討長期投資人在面臨通貨膨脹風險時的最適投資決策。就長期投資者而言，諸如退休金規劃者等，通貨膨脹是無可避免卻又不易被數量化之風險，因為各國僅公布與之相關的消費者物價指數而沒有公布真實通貨膨脹數值，因此我們延伸Campbell和Viceira(2001)及Brennan和Xia(2002)的模型假設，以消費者物價指數的資訊來校正原先假定符合Vasicek模型之通貨膨脹動態過程。本研究之理論背景為：利用貝式過濾方法(Baysian Filtering Method)，將含有雜訊之消費者物價指數，透過後驗分配得出通貨膨脹動態過程。利用帄賭過程(Martingale Method)求解資產之公帄價格。再引進定值相對風險趨避(Constant Relative Risk Aversion，CRRA)的效用函數，求出最適投資組合下之期末累積財富、各期資產配置以及效用值。 / 本研究歸納數值結果如下： 一、投資期間越長，通貨膨脹學習效果越顯著。投資期間達25年以上時，有學習效果之累積財富為無學習效果時兩倍以上，25年為2.36倍；30年為2.18倍。此外，學習效果對投資人效用改善率於長期投資時也較顯著，投資10年效用改善率為35%，而投資30年則高達1289%，呈非線性成長。以上結果顯示：資產在市場上累積越久，受到通膨影響越明顯，更需要以學習方式動態調整資產配置進行通貨膨脹風險管理。 / 二、風險較趨避之投資人，CRRA參數值越大；於最適投資組合下之期末財富較少，因為風險較趨避投資人偏好低波動度資產組合。風險容忍度低之投資人較需要通貨膨脹之學習，否則效用減損過高，例如CRRA參數為1.5之投資人30年後效用減損65%，CRRA參數為4之投資人效用減損達96.5%。以上數據顯示：風險趨避投資人對風險關注程度較高，考慮學習效果時，較能根據目前通貨膨脹調整資產配置。 / This study examines the optimal portfolio selection incorporating inflation risk learning adjustments for a long-term investor. For long-term investors, it is inevitable to face the uncertainty of inflation. On the other hand, quantifying inflation risk needs more effort since the government announced the information on Consumer Price Index (CPI) rather than the real inflation rates. / In order to measure the inflation rate in planning the long-term investment strategies, we extend the works in Campbell and Viceira (2001) and Brennan and Xia (2002) to construct a stochastic process of the inflation rate. The prior distribution of inflation rate process, which is not directly observable, is assumed to follow the diffusion process. Based on the information of CPI, we then employ the optimal linear filtering equations to estimate the posterior distribution of the inflation rate process. Through these mechanisms, the inflation rate process is closer to reality by learning from CPI. We also construct the optimal portfolio strategy through a Martingale formulation based on the wealth constraints. The optimal portfolio strategies are given in closed-form solutions. / Furthermore, the importance of learning about inflation risk is summarized through the numerical results. (1) When the investment interval is longer, the learning effect becomes more significant. If the investment horizon is longer than 25 years, the wealth accumulation under learning will be twice more than that without learning effect, e.g., the wealth accumulation is approximately 2.36, 2.18 folds at the end of 25, 30 years. Utility increase under learning also become larger for long-term investor, e.g., the utility values will improve 35% after considering learning ability on inflation from 10-year interval, improve 1289% from 30 years. / (2)When the CRRA parameter increases, the investor have lower risk tolerance; and their wealth accumulation become less due to the lower volatility portfolio. A conservative investor requires more learning ability given the inflation, otherwise their utility value will be reduced, e.g., the utility values will be reduced 35% when CRRA=1.5 after 30 years’ investment, 96,5% when CRRA=4.

[pt] O objetivo desta tese é desenvolver uma metodologia para estratégia de oferta de geradoras em leilões de contratos de energia elétrica, que determine a quantidade ótima que deve ser ofertada de cada contrato para cada ní­vel de preço de leilão, levando em conta os perfis de risco de cada agente e os riscos associados à  contratação. Em particular a incerteza quanto ao montante de energia produzida e ao seu preço no mercado de curto prazo (preço spot), também conhecida como incerteza de quantidade e preço. Desta forma, são realizadas aplicações desta metodologia para dois tipos de leilões de energia existente, mono e multi-produto. Neste segundo caso (multi-produto) é realizado um estudo de caso para o Leilão de Transição que ocorrerá em dezembro de 2004, onde serão leiloados 75% da eletricidade disponí­vel hoje no país (55 mil MW), segundo as diretrizes do novo modelo do setor elétrico brasileiro. / [en] The objective of this work is to develop a methodology for bidding strategies in multi-unit auctions for long-term electricity power purchase agreements (PPA). Considering a descending price auction design, the objective of a generating agent is to determine the optimal amount of energy to be offered in each contract for the actual auction prices at each round that maximizes the revenues of the agent given their risk profiles and the contract risks involved. The main risk treated in this work is the so-called price- quantity risk, related to the negative correlation between energy produced and the short term prices (spot price). The modeling of the risk profile for each agent is done using utility functions. This methodology is then applied on two types of auctions: singleproduct (only one contract being auctioned) and multi-product (more than one product is simultaneously auctioned). Case studies are presented with data from the Brazilian system. In particular, on the second type (multivariated auction) the case study is realized for the transition auction that will occur on December 2004, where 75% of the generation market of the whole country (about 55GW) will be negotiated under the guidelines of the new Brazilian electrical sector model.

In diesem Buch schlage ich eine radikal neuartige Sicht auf den Utilitarismus vor. Meine Hauptthese ist, dass der Utilitarismus selbst keine vollständige normative Theorie ist, aus der sich per se Handlungsbewertungen ableiten ließen, sondern normativ untersättigt und neutral ist. Sein normativer Gehalt ist vollständig abhängig von angenommenen Nutzenfunktionen. Jede konsistente Menge von moralischen Regeln (Moralsystem) kann, wie ich im Anhang beweise, als ein Spezialfall des Utilitarismus interpretiert werden. Um dies zu explizieren, stelle ich utilitaristische Interpretationen verschiedener Moralpositionen vor: Zwei alltagsmoralische Regeln (das Gebot, Versprechen zu halten und das Tötungsverbot), egalitäre Positionen zu Verteilungsfragen sowie die Rawls’sche Theorie der Gerechtigkeit. Hierbei gebe ich stets korrespondierende Nutzenfunktionen an, deren Vorliegen Utilitaristen auf die interpretierten moralischen Positionen verpflichtet. Die Frage nach dem normativen Gehalt des Utilitarismus schlechthin ist somit falsch gestellt. Ein Großteil der Kritik des Utilitarismus als moralische Theorie läuft ins Leere, denn sie kritisiert einen solchen nur scheinbar eigenständigen normativen Gehalt des Utilitarismus, den sie selbst durch unterstellte Nutzenfunktionen erst erzeugt. Die Verteidigung des Utilitarismus verfehlt ebenso oft das Ziel, wenn sie zur Rettung des Utilitarismus an sich konkurrierende Nutzenfunktionen ins Feld führt, ohne die normative Neutralität des Utilitarismus generell zu thematisieren. Diese normative Neutralität macht den Utilitarismus gleichsam zur Normalform der Ethik, denn jeder moralische Disput lässt sich in einen Disput über korrespondierende Nutzenfunktionen überführen. Der Utilitarismus ist also nicht moralische Theorie, sondern vielmehr die Methode der Ethik. / In this book I suggest to look at utilitarianism in a radical new way. My key starting point is that utilitarianism in itself is not a complete normative theory from which judgements of actions could be drawn but instead that utilitarianism is normatively undersaturated and neutral. Its normative content is entirely dependent on assumed utility functions. Every consistent set of moral rules (moral system) can, as I prove in the appendix, be interpreted as a special case of utilitarianism. To explicate this, I give utilitarian interpretations of a number of different moral positions: two everyday moral rules (the rule to keep promises and the prohibition of killing), egalitarian positions on distribution, and the Rawlsian theory of justice. In each case I propose corresponding utility functions that commit utilitarians to the interpreted moral position. Thus, asking about the normative content of utilitarianism in itself is meaningless. Much of the critique of utilitarianism as a moral theory misses the point as it criticizes such an assumed normative content of utilitarianism in itself while imputing the existence of certain utility functions. Many defendants of utilitarianism fall for the same mistake, as they propose rival utility functions to rescue their assumed normative content of utilitarianism without addressing the general normative neutrality of utilitarianism. For this normative neutrality, utilitarianism can be viewed as the normal form of ethics, because every moral dispute can be translated into a dispute over corresponding utility functions. Therefore, Utilitarianism is not a moral theory, but rather the method of ethics.