Governação das sociedades e a sua ligação ao desempenho

A concretização do presente trabalho teve por objetivo estudar se existe uma relação entre governação das sociedades e o desempenho da sociedade. Através de vários contributos teóricos e tendo por base inúmeros autores que escrevem sobre a matéria em questão, procedeu-se à revisão da literatura, onde foram abordados os conceitos, origens, marcos históricos e evolução em Portugal do tema governação das sociedades. Verificou - se o que vários autores escreveram sobre o relacionamento da governação das socidades e o desempenho da orgnização. Em termos de estudo, a amostra utilizada, foram as sociedades integrantes do PSI20, foram analisados os relatórios de gestão (que icluiam as demonstrações financeiras e relatórios de governo das sociedades) das sociedades integrantes da amostra, os setores de actividade onde as sociedades atuam, e os valores médios das demonstrações financeirase indicadores de sintese de cada sector de actividade. Por fim foram ainda verificados os relatórios anuais da CMVM sobre governo das sociedades cotadas para extrair os dados que necessitavamos para validar as asserções construidas. O horizonte temporal do estudo foi de 6 anos nomeadamente de 2007 a 2012 . O estudo pretendia verificar as asserções que construimos como modelo de análise seriam verdadeiras, e assim demonstrar que existia uma relação entre governação das sociedades e o desempenho alcançado pela sociedade. Esta relação foi validada em 40%. Sugerimos que no futuro se deveria tentar efectuar este estudo, recorrendo a métricas como o EVA ou Resultado Residual, num horizonte temporal diferente, pois os valores alcançados devem-se à grave crise financeira que se fazia sentir em Portugal no periodo em análise.

Enterprise Risk Management e o seu impacto no desempenho das empresas: Estudo de caso de seis instituições financeiras nacionais

Dissertação de Mestrado apresentado ao Instituto de Contabilidade e Administração do Porto para a obtenção do grau de Mestre em Auditoria, sob orientação do Mestre Fernando Teixeira Pinto

Auction of financial transmission rights in electricity market environment

An auction model is used to increase the individual profits for market players with products they do not use. A Financial Transmission Rights Auction has the goal of trade transmission rights between Bidders and helps them raise their own profits. The ISO plays a major rule on keep the system in technical limits without interfere on the auctions offers. In some auction models the ISO decide want bids are implemented on the network, always with the objective maximize the individual profits for all bidders in the auction. This paper proposes a methodology for a Financial Transmission Rights Auction and an informatics application. The application receives offers from the purchase and sale side and considers bilateral contracts as Base Case. This goal is maximize the individual profits within the system in their technical limits. The paper includes a case study for the 30 bus IEEE test case.

Accounting for the dissociating properties of organic chemicals in LCIA: an uncertainty analysis applied to micropollutants in the assessment of freshwater ecotoxicity

In life cycle impact assessment (LCIA) models, the sorption of the ionic fraction of dissociating organic chemicals is not adequately modeled because conventional non-polar partitioning models are applied. Therefore, high uncertainties are expected when modeling the mobility, as well as the bioavailability for uptake by exposed biota and degradation, of dissociating organic chemicals. Alternative regressions that account for the ionized fraction of a molecule to estimate fate parameters were applied to the USEtox model. The most sensitive model parameters in the estimation of ecotoxicological characterization factors (CFs) of micropollutants were evaluated by Monte Carlo analysis in both the default USEtox model and the alternative approach. Negligible differences of CFs values and 95% confidence limits between the two approaches were estimated for direct emissions to the freshwater compartment; however the default USEtox model overestimates CFs and the 95% confidence limits of basic compounds up to three orders and four orders of magnitude, respectively, relatively to the alternative approach for emissions to the agricultural soil compartment. For three emission scenarios, LCIA results show that the default USEtox model overestimates freshwater ecotoxicity impacts for the emission scenarios to agricultural soil by one order of magnitude, and larger confidence limits were estimated, relatively to the alternative approach.

Multidimensional scaling analysis of the dynamics of a country economy

This paper analyzes the Portuguese short-run business cycles over the last 150 years and presents the multidimensional scaling (MDS) for visualizing the results. The analytical and numerical assessment of this long-run perspective reveals periods with close connections between the macroeconomic variables related to government accounts equilibrium, balance of payments equilibrium, and economic growth. The MDS method is adopted for a quantitative statistical analysis. In this way, similarity clusters of several historical periods emerge in the MDS maps, namely, in identifying similarities and dissimilarities that identify periods of prosperity and crises, growth, and stagnation. Such features are major aspects of collective national achievement, to which can be associated the impact of international problems such as the World Wars, the Great Depression, or the current global financial crisis, as well as national events in the context of broad political blueprints for the Portuguese society in the rising globalization process.

Uncertainty assessment approach for composite structures based on global sensitivity indices

The problem of uncertainty propagation in composite laminate structures is studied. An approach based on the optimal design of composite structures to achieve a target reliability level is proposed. Using the Uniform Design Method (UDM), a set of design points is generated over a design domain centred at mean values of random variables, aimed at studying the space variability. The most critical Tsai number, the structural reliability index and the sensitivities are obtained for each UDM design point, using the maximum load obtained from optimal design search. Using the UDM design points as input/output patterns, an Artificial Neural Network (ANN) is developed based on supervised evolutionary learning. Finally, using the developed ANN a Monte Carlo simulation procedure is implemented and the variability of the structural response based on global sensitivity analysis (GSA) is studied. The GSA is based on the first order Sobol indices and relative sensitivities. An appropriate GSA algorithm aiming to obtain Sobol indices is proposed. The most important sources of uncertainty are identified.

Relativistic time effects in financial dynamics

Financial time series have a complex dynamic nature. Many techniques were adopted having in mind standard paradigms of time flow. This paper explores an alternative route involving relativistic effects. It is observed that the measuring perspective influences the results and that we can have different time textures.

Complex dynamics of financial indices

This paper presents a novel method for the analysis of nonlinear financial and economic systems. The modeling approach integrates the classical concepts of state space representation and time series regression. The analytical and numerical scheme leads to a parameter space representation that constitutes a valid alternative to represent the dynamical behavior. The results reveal that business cycles can be clearly revealed, while the noise effects common in financial indices can elegantly be filtered out of the results.

Analysis of financial indices by means of the windowed Fourier transform

The goal of this study is to analyze the dynamical properties of financial data series from nineteen worldwide stock market indices (SMI) during the period 1995–2009. SMI reveal a complex behavior that can be explored since it is available a considerable volume of data. In this paper is applied the window Fourier transform and methods of fractional calculus. The results reveal classification patterns typical of fractional order systems.

Uncertainty analysis based on sensitivity applied to angle-ply composite structures

This article describes a finite element-based formulation for the statistical analysis of the response of stochastic structural composite systems whose material properties are described by random fields. A first-order technique is used to obtain the second-order statistics for the structural response considering means and variances of the displacement and stress fields of plate or shell composite structures. Propagation of uncertainties depends on sensitivities taken as measurement of variation effects. The adjoint variable method is used to obtain the sensitivity matrix. This method is appropriated for composite structures due to the large number of random input parameters. Dominant effects on the stochastic characteristics are studied analyzing the influence of different random parameters. In particular, a study of the anisotropy influence on uncertainties propagation of angle-ply composites is carried out based on the proposed approach.

From local to global importance measures of uncertainty propagation in composite structures

The influence of uncertainties of input parameters on output response of composite structures is investigated in this paper. In particular, the effects of deviations in mechanical properties, ply angles, ply thickness and on applied loads are studied. The uncertainty propagation and the importance measure of input parameters are analysed using three different approaches: a first-order local method, a Global Sensitivity Analysis (GSA) supported by a variance-based method and an extension of local variance to estimate the global variance over the domain of inputs. Sample results are shown for a shell composite laminated structure built with different composite systems including multi-materials. The importance measures of input parameters on structural response based on numerical results are established and discussed as a function of the anisotropy of composite materials. Needs for global variance methods are discussed by comparing the results obtained from different proposed methodologies. The objective of this paper is to contribute for the use of GSA techniques together with low expensive local importance measures.

Uncertainty propagation in inverse reliability-based design of composite structures

An approach for the analysis of uncertainty propagation in reliability-based design optimization of composite laminate structures is presented. Using the Uniform Design Method (UDM), a set of design points is generated over a domain centered on the mean reference values of the random variables. A methodology based on inverse optimal design of composite structures to achieve a specified reliability level is proposed, and the corresponding maximum load is outlined as a function of ply angle. Using the generated UDM design points as input/output patterns, an Artificial Neural Network (ANN) is developed based on an evolutionary learning process. Then, a Monte Carlo simulation using ANN development is performed to simulate the behavior of the critical Tsai number, structural reliability index, and their relative sensitivities as a function of the ply angle of laminates. The results are generated for uniformly distributed random variables on a domain centered on mean values. The statistical analysis of the results enables the study of the variability of the reliability index and its sensitivity relative to the ply angle. Numerical examples showing the utility of the approach for robust design of angle-ply laminates are presented.

Analysis of financial data series using fractional Fourier transform and multidimensional scaling

The goal of this study is the analysis of the dynamical properties of financial data series from worldwide stock market indexes during the period 2000–2009. We analyze, under a regional criterium, ten main indexes at a daily time horizon. The methods and algorithms that have been explored for the description of dynamical phenomena become an effective background in the analysis of economical data. We start by applying the classical concepts of signal analysis, fractional Fourier transform, and methods of fractional calculus. In a second phase we adopt the multidimensional scaling approach. Stock market indexes are examples of complex interacting systems for which a huge amount of data exists. Therefore, these indexes, viewed from a different perspectives, lead to new classification patterns.

Privatization and entry of a foreign firm with demand uncertainty

We investigate the effects of trade with a foreign firm and privatization of the domestic pubUc firm on an incentive for the domestic firm to reduce costs by undertaking R&D investment, under demand uncertainty. We suppose that the domestic firm is less efficient than the foreign firm. However, the domestic firm can lower its marginal costs by conducting cost-reducing R&D investment. We examine the impacts of entry of a foreign firm, and the effects of demand uncertainty, on decisions upon cost-reducing R&D investment by the domestic firm and how these affect the domestic welfare.

Cournot competition between a non-profit firm and a for-profit firm with uncertainty

In this paper, we consider a Cournot competition between a nonprofit firm and a for-profit firm in a homogeneous goods market, with uncertain demand. Given an asymmetric tax schedule, we compute explicitly the Bayesian-Nash equilibrium. Furthermore, we analyze the effects of the tax rate and the degree of altruistic preference on market equilibrium outcomes.