9 resultados para investing, retirement funds, asset allocation

em Biblioteca Digital da Produção Intelectual da Universidade de São Paulo (BDPI/USP)


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This paper presents an approach for the active transmission losses allocation between the agents of the system. The approach uses the primal and dual variable information of the Optimal Power Flow in the losses allocation strategy. The allocation coefficients are determined via Lagrange multipliers. The paper emphasizes the necessity to consider the operational constraints and parameters of the systems in the problem solution. An example, for a 3-bus system is presented in details, as well as a comparative test with the main allocation methods. Case studies on the IEEE 14-bus systems are carried out to verify the influence of the constraints and parameters of the system in the losses allocation.

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This paper presents a new approach to the transmission loss allocation problem in a deregulated system. This approach belongs to the set of incremental methods. It treats all the constraints of the network, i.e. control, state and functional constraints. The approach is based on the perturbation of optimum theorem. From a given optimal operating point obtained by the optimal power flow the loads are perturbed and a new optimal operating point that satisfies the constraints is determined by the sensibility analysis. This solution is used to obtain the allocation coefficients of the losses for the generators and loads of the network. Numerical results show the proposed approach in comparison to other methods obtained with well-known transmission networks, IEEE 14-bus. Other test emphasizes the importance of considering the operational constraints of the network. And finally the approach is applied to an actual Brazilian equivalent network composed of 787 buses, and it is compared with the technique used nowadays by the Brazilian Control Center. (c) 2007 Elsevier Ltd. All rights reserved.

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This article presents a tool for the allocation analysis of complex systems of water resources, called AcquaNetXL, developed in the form of spreadsheet in which a model of linear optimization and another nonlinear were incorporated. The AcquaNetXL keeps the concepts and attributes of a decision support system. In other words, it straightens out the communication between the user and the computer, facilitates the understanding and the formulation of the problem, the interpretation of the results and it also gives a support in the process of decision making, turning it into a clear and organized process. The performance of the algorithms used for solving the problems of water allocation was satisfactory especially for the linear model.

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As many countries are moving toward water sector reforms, practical issues of how water management institutions can better effect allocation, regulation, and enforcement of water rights have emerged. The problem of nonavailability of water to tailenders on an irrigation system in developing countries, due to unlicensed upstream diversions is well documented. The reliability of access or equivalently the uncertainty associated with water availability at their diversion point becomes a parameter that is likely to influence the application by users for water licenses, as well as their willingness to pay for licensed use. The ability of a water agency to reduce this uncertainty through effective water rights enforcement is related to the fiscal ability of the agency to monitor and enforce licensed use. In this paper, this interplay across the users and the agency is explored, considering the hydraulic structure or sequence of water use and parameters that define the users and the agency`s economics. The potential for free rider behavior by the users, as well as their proposals for licensed use are derived conditional on this setting. The analyses presented are developed in the framework of the theory of ""Law and Economics,`` with user interactions modeled as a game theoretic enterprise. The state of Ceara, Brazil, is used loosely as an example setting, with parameter values for the experiments indexed to be approximately those relevant for current decisions. The potential for using the ideas in participatory decision making is discussed. This paper is an initial attempt to develop a conceptual framework for analyzing such situations but with a focus on the reservoir-canal system water rights enforcement.

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In this article, we consider the stochastic optimal control problem of discrete-time linear systems subject to Markov jumps and multiplicative noise under three kinds of performance criterions related to the final value of the expectation and variance of the output. In the first problem it is desired to minimise the final variance of the output subject to a restriction on its final expectation, in the second one it is desired to maximise the final expectation of the output subject to a restriction on its final variance, and in the third one it is considered a performance criterion composed by a linear combination of the final variance and expectation of the output of the system. We present explicit sufficient conditions for the existence of an optimal control strategy for these problems, generalising previous results in the literature. We conclude this article presenting a numerical example of an asset liabilities management model for pension funds with regime switching.

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Hub-and-spoke networks are widely studied in the area of location theory. They arise in several contexts, including passenger airlines, postal and parcel delivery, and computer and telecommunication networks. Hub location problems usually involve three simultaneous decisions to be made: the optimal number of hub nodes, their locations and the allocation of the non-hub nodes to the hubs. In the uncapacitated single allocation hub location problem (USAHLP) hub nodes have no capacity constraints and non-hub nodes must be assigned to only one hub. In this paper, we propose three variants of a simple and efficient multi-start tabu search heuristic as well as a two-stage integrated tabu search heuristic to solve this problem. With multi-start heuristics, several different initial solutions are constructed and then improved by tabu search, while in the two-stage integrated heuristic tabu search is applied to improve both the locational and allocational part of the problem. Computational experiments using typical benchmark problems (Civil Aeronautics Board (CAB) and Australian Post (AP) data sets) as well as new and modified instances show that our approaches consistently return the optimal or best-known results in very short CPU times, thus allowing the possibility of efficiently solving larger instances of the USAHLP than those found in the literature. We also report the integer optimal solutions for all 80 CAB data set instances and the 12 AP instances up to 100 nodes, as well as for the corresponding new generated AP instances with reduced fixed costs. Published by Elsevier Ltd.

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We examined resource limitations on growth and carbon allocation in a fast-growing, clonal plantation of Eucalyptus grandis x urophylla in Brazil by characterizing responses to annual rainfall, and response to irrigation and fertililization for 2 years. Productivity measures included gross primary production (GPP), total belowground carbon allocation (TBCA), bole growth, and net ecosystem production (NEP). Replicate plots within a single plantation were established at the midpoint of the rotation (end of year 3), with treatments of no additional fertilization or irrigation, heavy fertilization (to remove any nutrient limitation), irrigation (to remove any water limitation), and irrigation plus fertilization. Rainfall was unusually high in the first year (1769mm) of the experiment, and control plots had high rates of GPP (6.64 kg C m(-2) year(-1)), TBCA (2.14 kg C m(-2) year(-1)), and bole growth (1.81 kg C m(-2) year). Irrigation increased each of these rates by 15-17%. The second year of the experiment had average rainfall (1210 mm), and lower rainfall decreased production in control plots by 46% (GPP), 52% (TBCA), and 40% (bole growth). Fertilization treatments had neglible effects. The response to irrigation was much greater in the drier year, with irrigated plots exceeding the production in control plots by 83% (GPP), 239% (TBCA), and 24% (bole growth). Even though the rate of irrigation ensured no water limitation to tree growth, the high rainfall year showed higher production in irrigated plots for both GPP (38% greater than in drier year) and bole growth (23% greater). Varying humidity and supplies of water led to a range in NEP of 0.8-2.7 kg C m(-2) year. This difference between control and irrigated treatments, combined with differences between drier and wetter years, indicated a strong response of these Eucalyptus trees to both water supply and atmospheric humidity during the dry season. The efficiency of converting light energy into fixed carbon ranged from a low of 0.027 mol C to a high of 0.060 mol C per mol of absorbed photosynthetically active radiation (APAR), and the efficiency of bolewood production ranged from 0.78 to 1.98 g wood per MJ of APAR. Irrigation increased the efficiency of wood production per unit of water used from 2.55 kg wood m(-3) in the rainfed plot to 3.51 kg m(-3) in irrigated plots. Detailed information on the response of C budgets to environmental conditions and resource supplies will be necessary for accurate predictions of plantation yields across years and landscapes. (V) 2007 Elsevier B.V. All rights reserved.

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The purpose of this study was to determine the concentrations of aluminum (Al) and other metals in water samples from elderly people`s houses and retirement homes. Forty-six duplicate water samples from kitchen taps were collected in Ribeiro Preto/SP, Brazil. Metal levels were measured by atomic absorption spectrophotometer. Aluminum concentration exceeded the maximum allowed values in 26% of samples according to the Decree 518/2004 of the Brazilian Health Ministry. It was noted that 11% of elderly living at monitored houses, as well as 19% living at retirement homes presented Alzheimer disease diagnostic. These results suggest taking into account Al risks among vulnerable elderly population groups.