Submitted by Renata Lopes (renatasil82@gmail.com) on 2016-07-28T12:04:17Z No. of bitstreams: 1 rafaelbrunodasilvabrandi.pdf: 13228407 bytes, checksum: 1e92e8c2fa686ddcaea1c9ed0d33b278 (MD5) / Approved for entry into archive by Adriana Oliveira (adriana.oliveira@ufjf.edu.br) on 2016-07-28T12:16:14Z (GMT) No. of bitstreams: 1 rafaelbrunodasilvabrandi.pdf: 13228407 bytes, checksum: 1e92e8c2fa686ddcaea1c9ed0d33b278 (MD5) / Made available in DSpace on 2016-07-28T12:16:14Z (GMT). No. of bitstreams: 1 rafaelbrunodasilvabrandi.pdf: 13228407 bytes, checksum: 1e92e8c2fa686ddcaea1c9ed0d33b278 (MD5) Previous issue date: 2016-02-29 / CAPES - Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / CNPq - Conselho Nacional de Desenvolvimento Científico e Tecnológico / O Sistema Elétrico Brasileiro (SEB) apresenta características peculiares devido às grandes dimensões do país e pelo fato da geração elétrica ser proveniente predominantemente de usinas hidráulicas. Como as afluências a estas usinas possuem comportamento estocástico e grandes reservatórios proporcionam ao sistema a capacidade de uma regularização plurianual, a utilização dos recursos hidráulicos deve ser planejada de forma minuciosa em um horizonte de tamanho considerável. Assim, o planejamento da operação de médio prazo compreende um período de 5 a 10 anos com discretização mensal e é realizado por uma cadeia de modelos computacionais tal que o principal modelo desta cadeia é baseado na técnica da Programação Dinâmica Dual Estocástica (PDDE). O objetivo deste trabalho é obter avanços nas metodologias de programação dinâmica atualmente utilizadas. Partindo-se da utilização da inserção iterativa de cortes, implementa-se um modelo computacional para o planejamento da operação de médio prazo baseado na metodologia de Programação Dinâmica Estocástica (PDE) utilizando uma discretização mais eficiente do espaço de estados (PDEE). Além disso, a metodologia proposta de PDE possui um critério de convergência bem definido para o problema, de forma que a inclusão da medida de risco CVaR não altera o processo de avaliação da convergência de forma significante. Dado que a inclusão desta medida de risco à PDDE convencional dificulta a avaliação da convergência do processo pela dificuldade da estimação de um limite superior válido, o critério de convergência proposto na PDEE é, então, base para um novo critério de convergência para a PDDE tal que pode ser aplicado mesmo na consideração do CVaR e não aumenta o custo computacional envolvido. Adicionalmente, obtém-se um critério de convergência mais detalhado em que as séries utilizadas para amostras de afluência podem ser avaliadas individualmente tais que aquelas que, em certo momento, não contribuam de forma determinante para a convergência podem ser descartadas do processo, diminuindo o tempo computacional, ou ainda serem substituídas por novas séries dentro de uma reamostragem mais seletiva dos cenários utilizados na PDDE. As metodologias propostas foram aplicadas para o cálculo do planejamento de médio prazo do SIN baseando-se em subsistemas equivalentes de energia. Observa-se uma melhoria no algoritmo base utilizado para a PDE e que o critério proposto para convergência da PDDE possui validade mesmo quando CVaR é considerado na modelagem. / The Brazilian National Grid (BNG) presents peculiar characteristics due to its huge territory dimensions and hydro-generation predominancy. As the water inflows to these plants are stochastic and a pluriannual regularization for system storage capacity is provided, the use of hydro-generation must be planned in an accurate manner such that it considersalongplanningperiod. So, thelong-termoperationplanning(LTOP)problemis generallysolvedbyachainofcomputationalmodelsthatconsideraperiodof5to10years ahead such that the primary model of this chain is based on Stochastic Dual Dynamic Programming (SDDP) technique. The main contribution of this thesis is to propose some improvements in Stochastic Dynamic Programming techniques usually settled on solving LTOP problems. In the fashion of an iterative cut selection, it is firstly proposed a LTOP problem solution model that uses an ecient state space discretization for Stochastic Dynamic Programming (SDP), called ESDP. The proposed model of SDP has a welldefined convergence criterion such that including CVaR does not hinder convergence analysis. Due to the lack of good upper bound estimators in SDDP when including CVaR, additional issues are encountered on defining a convergence criterion. So, based on ESDP convergence analysis, a new criterion for SDDP convergence is proposed such that it can be used regardless of CVaR representation with no extra computational burden. Moreover, the proposed convergence criterion for SDDP has a more detailed description such that forward paths can be individually assessed and then be accordingly discarded for computational time reduction, or even define paths to be replaced in a more particular resampling scheme in SDDP. Based on aggregate reservoir representation, the proposed methodsofconvergenceofSDDPandtheESDPwereappliedonLTOPproblemsrelatedto BNG. Results show improvements in SDDP based technique and eectiveness of proposed convergence criterion for SDDP when CVaR is used.

This thesis aims at determining the theoretical and empirical consequences of the consideration of socially responsible indicators in the traditional portfolio selection. The first chapter studies the significance of the mean-variance efficiency loss of a sovereign bond portfolio when introducing a constraint on the average socially responsible ratings of the governments. By using a sample of developed sovereign bonds on the period 1995-2008, we show that it is possible to increase sensibly the average socially responsible rating without significantly losing in terms of diversification. The second chapter proposes a theoretical analysis of the impact on the efficient frontier of a constraint on the socially responsible ratings of the portfolio. We highlight that different cases may arise depending on the correlation between the expected returns and the socially responsible ratings and on the investor’s risk aversion. Lastly, as the issue of the efficiency of socially responsible portfolios is a central point in the financial literature, the last chapter proposes a new mean-variance efficiency test in the realistic case where there is no available risk-free asset. / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished

This thesis deals with the relationship between mood and behavior of bettors using a dataset provided by a betting company, Chance a.s., which operates in the Czech Republic. We consider three types of proxies for the mood: weather in regions, sport successes and the results of elections, and we build a fixed effect model to estimate the effect of mood on betting behavior. We provide strong evidence that the weather proxy has a significant effect on daily turnovers of the betting company and there also seems to be an effect of sport optimism. On the contrary, we failed to find any impact of elections. The results show that better mood tend to discourage clients from sports and lottery betting which is consistent with the increase in risk aversion or the depletion of a common self-control resource due to active mood regulation attempts. Additionally, we provide an evidence that the intra-month cycle in turnovers corresponds to liquidity constraint of bettors which disproves the permanent income hypothesis.

Par sa nature prototypique, chaque bien musical, et par extension chaque bien culturel, est un bien nouveau. Cette thèse a pour objectif d’étudier la consommation et le financement de la nouveauté musicale en adoptant deux approches de l’économie expérimentale : les expériences en laboratoire (première partie) et l’interprétation des données de terrain à partir de mesures expérimentales (seconde partie). La première partie explore les déterminants et les caractéristiques de la demande de nouveauté musicale. Dans un premier chapitre, nous étudions l’effet de l’information et du prix sur la concentration de la demande lorsque les consommateurs peuvent choisir entre des artistes établis sur le marché et des nouveaux entrants. Le second chapitre propose une estimation de systèmes complets de demande pour quatre genres musicaux. La seconde partie de cette thèse s’intéresse aux comportements de contributeurs sur une plateforme de financement participatif avec récompenses. Dans le troisième chapitre, nous proposons un modèle rendant compte de la décision de contribuer à un projet musical à partir du constat que les contributeurs font face à deux types de risque : le risque d’échec de la coordination et le risque de non livraison du produit. Dans ce contexte, l’illusion de contrôle permet d’expliquer la dynamique de contribution. L’étude du rôle des préférences face au risque montre que lorsque le risque d’échec de la coordination disparaît, l’aversion au risque est corrélée négativement au niveau des contributions. Cependant, en début de campagne, cette corrélation est positive. Le dernier chapitre se concentre sur la nature hybride du financement participatif. Les résultats suggèrent que la décision de contribution relève d’une logique de don tandis que le niveau de ces contributions relève d’une logique de consommation. / By its prototypical nature, each musical good, and by extension each cultural good, is new. The aim of this thesis is two study the consumption and the funding of musical novelty, using two experimental approaches : the use of in-lab experiments to study demand (part I) and the use of experimental measures to understand field behaviors (part II). The first part explores the determinants and characteristics of demand for novelty. In the first chapter, we study the demand concentration when consumers can choose between established artists and new entrants. The second chapter presents estimations of an almost ideal demand system for four musical genres. The second part of this thesis focuses on contributors’ behaviors of a reward-based crowdfunding platform. In a third chapter, we propose a model of decision to contribute to a musical project, based on the observation that contributors are exposed to two types of risk : a risk of coordination failure and a risk of non delivery. With this in mind, illusion of control allows to understand the timing of decision. A closer look at the role of risk preferences shows that risk aversion is negatively correlated with contributions when coordination is ensured. On the contrary, the correlation becomes positive at the beginning of a campaign. In the last chapter, we investigate the mixed nature of crowdfunding. Results suggest that the decision to contribute falls within a donation logic while the decision on how much to contribute falls within a consumption logic.

Corporate social responsibility (CSR) and sustainability are concepts that have become increasingly more relevant, where it is no longer accepted by society that companies only prioritize the interests of shareholders without also looking to the interests of society. This has led to large companies being obligated to make sustainability reports in order to report their impact on society. This does not apply to small and medium-sized enterprises (SME) and therefore we have chosen to investigate how SMEs that have a clear sustainability profile are affected by sustainability in their decision-making. There has been some research on why one chooses to be more sustainable as an SME, but there has been little research on how this affects the SMEs who work with sustainability in their day-to-day business decisions when they have more than the shareholders to answer to. To investigate this phenomenon, we have done five case studies where we have interviewed five people who are involved in the decision-making in different SMEs. The purpose is to understand how small and medium-sized enterprises that have a clear sustainability profile work with sustainability and how that in turn affects their decision-making. To descriptively describe how decisions are made in relation to sustainability we have used several theories to capture the overall multifaceted reality that these SMEs are faced with in their decision-making. This in turn has made it possible for us to describe this reality by understanding to what extent the companies work with sustainability, how that in turn affects the reference points the companies have and how the interpretation of risk becomes a determining factor in how a SME makes its decisions.  What we have seen is that decisions are governed by aspects such as the extent to which sustainability permeates the company which in turn affects the reference point that is chosen when weighing the utility of different decisions. We have also seen how companies interpret risk affects to what extent they choose to compromise in their sustainability work. Industry aspects have also been an affecting factor as some companies are more dependent on other stakeholders for their operations which creates a complicated balance between how you weigh the financial against the sustainable. / Corporate social responsibility (CSR) och hållbarhet är något som har blivit alltmer relevant, där det inte längre accepteras av samhället att företag bara prioriterar aktieägarnas intressen utan att man också ser till samhällets intressen. Detta har lett till att stora företag har blivit tvungna att göra hållbarhetsrapporteringar för att redovisa deras påverkan på samhället. Detta gäller inte små och medelstora företag (SME) och därför har vi valt att undersöka hur SME som har en tydlig hållbarhetsprofil påverkas i sitt beslutsfattande när det kommer till hållbarhet. Det har forskats en del om varför man väljer att vara mer hållbar som SME men det har forskats lite kring hur detta påverkar SMEs med en hållbarhetsprofil i sina dagliga beslut när man har fler intressenter att svar till. För att undersöka detta fenomen har vi gjort fem fallstudier där vi har intervjuat fem personer i en beslutsfattande position i olika SMEs. Syftet är att förstå hur små och medelstora företag som har en tydlig hållbarhetsprofil arbetar med hållbarhet och hur det påverkar deras affärsbeslut. För att deskriptivt beskriva hur beslut tas gentemot hållbarhet har vi nyttjat flera teorier för att på en övergripande nivå fånga den multifacetterade verklighet som dessa SME ställs inför i sina beslut. Detta har gjort att vi har kunnat beskriva denna verklighet genom att förstå i vilken utsträckning man arbetar med hållbarhet, hur det i sin tur påverkar de utgångspunkter man har och hur tolkningen av risk blir avgörande för hur dess SME tar sina beslut. Det vi har sett är att beslut styrs av aspekter som i vilken utsträckning hållbarhet genomsyrar företaget vilket i sin tur påverkar mot vilken referenspunkt företaget värderar sina beslut. Detta påverkar i sin tur hur man upplever nyttan av olika beslut. Vi har också sett att hur man tolkar risk leder till i vilken utsträckning man är villig att kompromissa i sitt hållbarhetsarbete. Branschaspekter har också haft en påverkan då vissa företag är mer beroende av andra intressenter för sin verksamhet vilket skapar en mer komplicerad balansgång mellan hur man väger det finansiella mot det hållbara.

In my dissertation, I investigate the relationship between household consumption expenditures and transitory income shocks. In the first two essays, I pay particular attention to household expenditures in the aftermath of natural disasters, which are becoming more frequent and costly in the U.S. since 1980. Additionally, I study specialty farm producers' risk attitudes after an income shock due to natural disasters. Although the permanent income hypothesis predicts that households smooth consumption over their lifetimes, credit-constrained households may find consumption smoothing impractical. This dissertation brings forth evidence regarding heterogeneity in the effect of income shocks on household expenditures. First, I find that floods and hurricanes affect food-at-home (FAH) spending in different ways. The average 15-day decrease in FAH spending is about $2 in the 90 days after a flood and about $7 in the 30 days after a hurricane. In other words, floods have a prolonged effect and hurricanes have an immediate effect. I find that floods and hurricanes remain a threat to the FAH expenditures of vulnerable households, for instance, low-income households and households in coastal states. Second, Indiana specialty farm households reduce their monthly expenses of food and miscellaneous categories by about $119 and $280, respectively, after an income loss of 20%-32%. I also find that Indiana specialty producers are less willing to take financial risk after an income loss experience, i.e., they have a decreasing absolute risk aversion. Finally, in the third essay, I show that Australian households exhibit loss aversion in consumption expenditures which also means that they behave asymmetrically in their consumption response to income shocks. However, it is only working-age younger households that show asymmetric consumption behavior as opposed to the symmetric behavior of retirement-age households. The main message of these various findings is clear: after an income shock, the magnitude of change in consumption expenditures and the saliency of certain expenditure categories for adjustment are context- and population-dependent. Hence, income support policies and post-disaster relief programs may benefit from a better understanding of the consumption behavior of beneficiary population, to achieve maximum impact through better targeting.

[pt] No planejamento da operação hidrotérmica brasileiro, assim como em outros países hidro dependentes, a Programação Dinâmica Dual Estocástica (PDDE) é utilizada para calcular uma política ótima avessa a risco que, muitas vezes, considera modelos autorregressivos para modelagem das afluências às hidrelétricas. Em aplicações práticas, estes modelos podem induzir a uma variabilidade indesejável de variáveis primais (geração térmica) e duais (custo marginal e preço spot), que são altamente sensíveis a mudanças nas condições iniciais das vazões. Neste trabalho, são propostas duas abordagens diferentes para estabilizar as soluções da PDDE no problema de planejamento da operação energética: a primeira abordagem visa regularizar variáveis primais considerando uma penalidade adicional sobre as mudanças no despacho térmico ao longo do tempo. A segunda abordagem reduz indiretamente a variabilidade da geração térmica e do custo marginal ao ignorar informações de afluências passadas na função de custo futuro e compensando-a com um aumento na aversão ao risco. Para fins de comparação, a qualidade solução foi avaliada com um conjunto de índices propostos que resumem cada aspecto importante de uma política de planejamento hidrotérmico. Em conclusão, mostramos que é possível obter soluções com boa qualidade em comparação com benchmarks atuais e com uma redução significativa variabilidade. / [en] In the hydrothermal energy operation planning of Brazil and other hydro-dependent countries, Stochastic Dual Dynamic Programming (SDDP) computes a risk-averse optimal policy that often considers river-inflow autoregressive models. In practical applications, these models induce an undesirable variability of primal (thermal generation) and dual (marginal cost and spot price) solutions, which are highly sensitive to changes in current inflow conditions. In this work, we propose two differing approaches to stabilize SDDP solutions to the energy operation planning problem: the first approach aims at regularizing primal variables by considering an additional penalty on thermal dispatch revisions over time. The second approach indirectly reduces thermal generation and marginal cost variability by disregarding past inflow information in the cost-to-go function and compensating it with an increase in risk aversion. For comparison purposes, we assess solution quality with a set of proposed indexes summarizing each important aspect of a hydrothermal operation planning policy. In conclusion, we show it is possible to obtain high- quality solutions in comparison to current benchmarks and with significantly reduced variability.

[pt] Este trabalho propõe a inclusão de restrições probabilísticas como alternativa para inclusão de aversão ao risco no problema de planejamento de longo prazo da geração em sistemas hidrotérmicos, resolvido por programação dinâmica dual estocástica (PDDE). Propõe-se uma abordagem menos restritiva em comparação com métodos alternativos de aversão a risco já avaliados no sistema brasileiro, como a curva de aversão ao risco (CAR) ou a superfície de aversão a risco (SAR). Considera-se uma decomposição de Benders de dois estágios para o subproblema de cada nó da árvore de cenários da PDDE, onde o subproblema de segundo estágio é denominado CCP-SAR. O objetivo é obter uma política operativa que considere explicitamente o risco de não atendimento à demanda vários meses à frente, no subproblema CCP-SAR, com uma modelagem contínua das variáveis aleatórias associadas à energia natural afluente aos reservatórios, segundo uma distribuição normal multivariada. A região viável para a restrição probabilística é aproximada por planos cortantes, construídos a partir da técnica de bisseção e calculando-se os gradientes dessas restrições, usando o código de Genz. Na primeira parte deste trabalho resolve-se de forma iterativa o subproblema CCP-SAR, para um determinado vetor de armazenamentos iniciais para o sistema. Na segunda parte do trabalho constrói-se uma superfície de aversão a risco probabilística, varrendo-se um espectro de valores para o armazenamento inicial. / [en] This paper proposes the inclusion of chance constrained programming as an alternative to include risk aversion in the long-term power generation planning problem of hydrothermal systems, solved by stochastic dual dynamic programming (SDDP). It is proposed a less restrictive approach as compared to traditional methods of risk aversion that have been used in the Brazilian system, such as risk aversion curve (CAR) or risk aversion surface (SAR). A two-stage Benders decomposition subproblem is considered for each SDDP scenario, where the second stage subproblem is labeled CCP-SAR. The objective is to yield an operational policy that explicitly considers the risk of load curtailment several months ahead, while considering in the CCP-SAR subproblem a continuous multivariate normal distribution for the random variables related to energy inflows to the reservoirs. The feasible region for this chance constrained subproblem is outer approximated by linear cuts, using the bisection method which gradients were calculated using Genz s code. The first part of this dissertation solves the multi-stage deterministic CCP-SAR problem by an iterative procedure, for a given initial vector storage for the system. The second part presents the probabilistic risk aversion surface, for a range of values of initial storage.

No description available.

The architecture, engineering and construction industry faces challenges when dealing withprocurement contract design and risk-handling. The optimal contracting practices have beenworldwide studied in areas of contract theory which studies how the optimal incentivemechanism (“contracts”) can be designed to encourage the parties to behave more efficiently.The parties usually consist of a principal and an agent, where the principal hires an agent todeliver goods or services. However, the complexity of contract theory calls for a morepracticable approach in an attempt to understand the procurement problem in the industry andincrease knowledge-sharing between projects. The purpose of this study is to propose a model based on contract theory that can be used inpractice to investigate the effects of project endogenous risks in three different types ofprocurement contracts: fixed-price, time and material, and incentive. Thus, this study usesquantitative methods with the aim to explain the current procurement problem in the Swedisharchitecture, engineering, and construction industry, compare theory and practice, andcontribute to knowledge about the linkage between endogenous risks, optimal risk sharing andcontract design. The conclusions from this study are that the current contracting practices in the industry arenot aligned with the optimal contract design described by the theory. The theory in this researchshowed that, given endogenous project risks, the optimal incentives vary in the agent’saversion to risk resulting in a non-monotone relationship between optimal contract power andproject risk. Further, a contract becomes optimal and efficient when cost savings and qualityincentives are aligned. However, the analysis of real-world projects presented no clearrelationship between contract power and project risk, i.e. some projects with fixed-pricecontracts or time and material contracts presented the same risk level. Hence, this researchproposes a method for computing the optimal incentive contract which can be used in manycases where the other two types of contract are currently being used. Based on the theory, theoptimal incentive contract may add valuable benefits for both parties involved since it aims toefficiently share the project risk between them while providing the agent the right incentivesto work more efficiently to reduce costs and deliver high-quality services or goods. / Byggbranschen står inför utmaningar när det gäller kontraktsdesign och riskhantering. Deoptimala upphandlingsmetoderna har studerats över hela världen inom områden avkontraktsteori som i sin tur studerar hur den optimala incitamentsmekanismen ("kontrakt") kanutformas för att uppmuntra parterna att agera mer effektivt. Parterna består vanligtvis av enprincipal och en agent, där principalen anställer en agent för att leverera varor eller tjänster.Men komplexiteten i kontraktsteori kräver ett mer praktiskt tillvägagångssätt i ett försök attbättre förstå upphandlingsproblemet i byggbranschen samt att öka kunskapsutbytet mellanprojekt. Syftet med denna studie är att föreslå en modell baserad på kontraktsteori som kan användas ipraktiken för att undersöka effekter av endogena risker i tre olika typer avupphandlingskontrakt: fastpris, rörligt pris (time and material) och incitament. Denna studieanvänder därmed kvantitativa metoder i syfte att förklara det aktuella upphandlingsproblemeti den svenska byggbranschen, jämföra teori och praktik, och bidra till utökad kunskap omsambandet mellan endogena risker, optimal riskdelning och kontraktsdesign. Slutsatsen från denna studie är att den nuvarande upphandlingspraxisen i branschen inte är ilinje med den optimala kontraktsdesignen som beskrivs av teorin. Teorin i denna studie visaratt, förutsatt endogena projektrisker, så varierar de optimala incitamenten med agentensriskaversion vilket resulterar i ett icke-monoton förhållande mellan optimal kontraktsdesignoch projektrisk. Dessutom blir ett kontrakt optimalt och effektivt när kostnadsbesparingar ochkvalitetsincitament är i linje med varandra. Men analysen av verkliga projekt visar inget tydligtsamband mellan kontraktsdesign och projektrisk, det vill säga en del projekt med fastpris ellerrörligt pris visade sig ha samma risknivå. Därför föreslår denna studie en metod för beräkningav det optimala incitamentet som kan användas i många fall där de andra två typerna avkontrakt för närvarande används. Teorin säger att det optimala incitamentet kan ge värdefullafördelar för de inblandade parterna eftersom det syftar till att på ett effektivt sätt fördelaprojektrisken mellan dem samtidigt som agenten får rätt incitament att arbeta mer effektivt föratt sänka kostnaderna och leverera högkvalitativa tjänster eller varor.