Health systems efficiency after the crisis in the OECD

This work evaluates the efficiency position of the health system of each OECD country. It identifies whether, or not, health systems changed in terms of quality and performance after the financial crisis. The health systems performance was calculated by fixed-effects estimator and by stochastic frontier analysis. The results suggest that many of those countries that the crisis affected the most are more efficient than the OECD average. In addition, some of those countries even managed to reach the top decile in the efficiency ranking. Finally, we analyze the stochastic frontier efficiency scores together with other health indicators to evaluate the health systems’ overall adjustments derived from the crisis.

A public transport bus assignment problem: parallel metaheuristics assessment

Combinatorial Optimization Problems occur in a wide variety of contexts and generally are NP-hard problems. At a corporate level solving this problems is of great importance since they contribute to the optimization of operational costs. In this thesis we propose to solve the Public Transport Bus Assignment problem considering an heterogeneous fleet and line exchanges, a variant of the Multi-Depot Vehicle Scheduling Problem in which additional constraints are enforced to model a real life scenario. The number of constraints involved and the large number of variables makes impracticable solving to optimality using complete search techniques. Therefore, we explore metaheuristics, that sacrifice optimality to produce solutions in feasible time. More concretely, we focus on the development of algorithms based on a sophisticated metaheuristic, Ant-Colony Optimization (ACO), which is based on a stochastic learning mechanism. For complex problems with a considerable number of constraints, sophisticated metaheuristics may fail to produce quality solutions in a reasonable amount of time. Thus, we developed parallel shared-memory (SM) synchronous ACO algorithms, however, synchronism originates the straggler problem. Therefore, we proposed three SM asynchronous algorithms that break the original algorithm semantics and differ on the degree of concurrency allowed while manipulating the learned information. Our results show that our sequential ACO algorithms produced better solutions than a Restarts metaheuristic, the ACO algorithms were able to learn and better solutions were achieved by increasing the amount of cooperation (number of search agents). Regarding parallel algorithms, our asynchronous ACO algorithms outperformed synchronous ones in terms of speedup and solution quality, achieving speedups of 17.6x. The cooperation scheme imposed by asynchronism also achieved a better learning rate than the original one.

Anatomy of the portuguese stock market risk and return in the 1977-2012 period

This paper analyses the Portuguese stock market since it reopened in 1977, with a special focus on the evolution of the statistic and stochastic characteristics of the market return throughout this 36 year period. The market return for the period of time between 1977 and 2012 (September 28th) is estimated and then compared with the return that would have been achieved with Government bonds and treasury bills, which allows us to confirm that the hierarchy of return / risk across the different financial instruments is verified. The market risk premium for this 36 year period is also estimated and a comparison with other markets is performed, suggesting that the Portuguese market’s risk has not been compensated by an adequate return. The study also examines the evolution of the Portuguese market’s volatility in the 1977-2012 period and compares it with other markets, showing the existence of extremely high peaks during the first 11 years, but indicating a downwards trend throughout the whole period under analysis. Finally, the correlation between market returns for Portugal and for other countries and the degree of integration are estimated and their evolution throughout time is assessed, leading to the conclusion that the performance of the Portuguese stock market has become increasingly correlated with major European markets – correlation with some markets close to 0.70 from 2000 onwards-, but that country-specific risk factors are still relevant.

Valuing an offshore exploration project through real options analysis

This thesis applied real options analysis to the valuation of an offshore oil exploration project, taking into consideration the several options typically faced by the management team of these projects. The real options process is developed under technical and price uncertainties, where it is considered that the mean reversion stochastic process is more adequate to describe the movement of oil price throught time. The valuation is realized to two case scenarios, being the first a simplified approach to develop the intuition of the used concepts, and the later a more complete cases that is resolved using both the binomial and trinomial processes to describe oil price movement. Real options methodology demonstrated to be capable of assessing and valuing the projects options, and of overcoming common capital budgeting methodologies flexibility limitation. The added value of the application of real options is evident, but so is the method's increased complexity, which adversely influence its widespread implementation.