Fatores que Influenciam a flexibilidade da produção de veículos comerciais

Pós-graduação em Engenharia de Produção - FEG

Fatores que Influenciam a flexibilidade da produção de veículos comerciais

Pós-graduação em Engenharia de Produção - FEG

The identification of the pillars of education in the class comprehensiveness in healthcare

The objective of the present study was to verify, based on the analysis of student portfolio narratives, if the four pillars of education were approached in the class "Comprehensiveness in health care", part of the integrated curriculum of the Baccalaureate in Nursing Program of the University of Sao Paulo at Ribeirao Preto College of Nursing. A qualitative, documental study was performed using 46 portfolios constructed during the classes. Data collection was performed using an assessment tool that contained items addressing cognitive and affective dimensions. The data were submitted to thematic categorical analysis using the pillars of education as predefined categories. The results show that the pillars of education were, apparently, included in the class. Despite the present study findings, no evidence was found that the expected competencies were actually discussed among students and faculty, according to the records regarding the evaluations of each pedagogical cycle of the studied class.

Groups of services delivered by Brazilian branchless banking and respective network integration models

Over the last decade, Brazil has pioneered an innovative model of branchless banking, known as correspondent banking, involving distribution partnership between banks, several kinds of retailers and a variety of other participants, which have allowed an unprecedented growth in bank outreach and became a reference worldwide. However, despite the extensive number of studies recently developed focusing on Brazilian branchless banking, there exists a clear research gap in the literature. It is still necessary to identify the different business configurations involving network integration through which the branchless banking channel can be structured, as well as the way they relate to the range of bank services delivered. Given this gap, our objective is to investigate the relationship between network integration models and services delivered through the branchless banking channel. Based on twenty interviews with managers involved with the correspondent banking business and data collected on almost 300 correspondent locations, our research is developed in two steps. First, we created a qualitative taxonomy through which we identified three classes of network integration models. Second, we performed a cluster analysis to explain the groups of financial services that fit each model. By contextualizing correspondents' network integration processes through the lens of transaction costs economics, our results suggest that the more suited to deliver social-oriented, "pro-poor'' services the channel is, the more it is controlled by banks. This research offers contributions to managers and policy makers interested in understanding better how different correspondent banking configurations are related with specific portfolios of services. Researchers interested in the subject of branchless banking can also benefit from the taxonomy presented and the transaction costs analysis of this kind of banking channel, which has been adopted in a number of developing countries all over the world now. (C) 2011 Elsevier B.V. All rights reserved.

A produção de narrativas crítico-reflexivas nos portfólios de estudantes de enfermagem

Esta investigação visou analisar o processo de construção das narrativas reflexivas em portfólios de estudantes de enfermagem. Trata-se de um estudo qualitativo, que analisou os portfólios da disciplina Promoção da Saúde na Educação Básica, ministrada no quarto semestre do curso de Licenciatura em Enfermagem. Os resultados indicaram a predominância inicial de registros descritivos, com a incipiente abordagem de aspectos teóricos articulados aos aspectos vivenciais. Com o transcorrer das discussões em grupo e das vivências foram apresentadas narrativas com elementos mais críticos e reflexivos, com justificativas das ações descritas e relações com aspectos teórico-práticos estudados na disciplina e no curso. O estudo conclui que há um processo de produção das narrativas crítico-reflexivas em portfólios que pode incluir descrição sintética, senso comum, idealização, e que, de modo singular, possibilita a inclusão do outro, das diferenças e de revisão teórica.

Structural analysis of combinatorial optimization problem characteristics and their resolution using hybrid approaches

Many combinatorial problems coming from the real world may not have a clear and well defined structure, typically being dirtied by side constraints, or being composed of two or more sub-problems, usually not disjoint. Such problems are not suitable to be solved with pure approaches based on a single programming paradigm, because a paradigm that can effectively face a problem characteristic may behave inefficiently when facing other characteristics. In these cases, modelling the problem using different programming techniques, trying to ”take the best” from each technique, can produce solvers that largely dominate pure approaches. We demonstrate the effectiveness of hybridization and we discuss about different hybridization techniques by analyzing two classes of problems with particular structures, exploiting Constraint Programming and Integer Linear Programming solving tools and Algorithm Portfolios and Logic Based Benders Decomposition as integration and hybridization frameworks.

Corporate Venture Capital: How established firms use external resources to create new competencies

This Doctoral Dissertation is triggered by an emergent trend: firms are increasingly referring to investments in corporate venture capital (CVC) as means to create new competencies and foster the search for competitive advantage through the use of external resources. CVC is generally defined as the practice by non-financial firms of placing equity investments in entrepreneurial companies. Thus, CVC can be interpreted (i) as a key component of corporate entrepreneurship - acts of organizational creation, renewal, or innovation that occur within or outside an existing organization– and (ii) as a particular form of venture capital (VC) investment where the investor is not a traditional and financial institution, but an established corporation. My Dissertation, thus, simultaneously refers to two streams of research: corporate strategy and venture capital. In particular, I directed my attention to three topics of particular relevance for better understanding the role of CVC. In the first study, I moved from the consideration that competitive environments with rapid technological changes increasingly force established corporations to access knowledge from external sources. Firms, thus, extensively engage in external business development activities through different forms of collaboration with partners. While the underlying process common to these mechanisms is one of knowledge access, they are substantially different. The aim of the first study is to figure out how corporations choose among CVC, alliance, joint venture and acquisition. I addressed this issue adopting a multi-theoretical framework where the resource-based view and real options theory are integrated. While the first study mainly looked into the use of external resources for corporate growth, in the second work, I combined an internal and an external perspective to figure out the relationship between CVC investments (exploiting external resources) and a more traditional strategy to create competitive advantage, that is, corporate diversification (based on internal resources). Adopting an explorative lens, I investigated how these different modes to renew corporate current capabilities interact to each other. More precisely, is CVC complementary or substitute to corporate diversification? Finally, the third study focused on the more general field of VC to investigate (i) how VC firms evaluate the patent portfolios of their potential investee companies and (ii) whether the ability to evaluate technology and intellectual property varies depending on the type of investors, in particular for what concern the distinction between specialized versus generalist VCs and independent versus corporate VCs. This topic is motivated by two observations. First, it is not clear yet which determinants of patent value are primarily considered by VCs in their investment decisions. Second, VCs are not all alike in terms of technological experiences and these differences need to be taken into account.

Black-scholes type equations

In this work we are concerned with the analysis and numerical solution of Black-Scholes type equations arising in the modeling of incomplete financial markets and an inverse problem of determining the local volatility function in a generalized Black-Scholes model from observed option prices. In the first chapter a fully nonlinear Black-Scholes equation which models transaction costs arising in option pricing is discretized by a new high order compact scheme. The compact scheme is proved to be unconditionally stable and non-oscillatory and is very efficient compared to classical schemes. Moreover, it is shown that the finite difference solution converges locally uniformly to the unique viscosity solution of the continuous equation. In the next chapter we turn to the calibration problem of computing local volatility functions from market data in a generalized Black-Scholes setting. We follow an optimal control approach in a Lagrangian framework. We show the existence of a global solution and study first- and second-order optimality conditions. Furthermore, we propose an algorithm that is based on a globalized sequential quadratic programming method and a primal-dual active set strategy, and present numerical results. In the last chapter we consider a quasilinear parabolic equation with quadratic gradient terms, which arises in the modeling of an optimal portfolio in incomplete markets. The existence of weak solutions is shown by considering a sequence of approximate solutions. The main difficulty of the proof is to infer the strong convergence of the sequence. Furthermore, we prove the uniqueness of weak solutions under a smallness condition on the derivatives of the covariance matrices with respect to the solution, but without additional regularity assumptions on the solution. The results are illustrated by a numerical example.

The impact of R&D in firm value across Europe

In this thesis the impact of R&D expenditures on firm market value and stock returns is examined. This is performed in a sample of European listed firms for the period 2000-2009. I apply different linear and GMM econometric estimations for testing the impact of R&D on market prices and construct country portfolios based on firms’ R&D expenditure to market capitalization ratio for studying the effect of R&D on stock returns. The results confirm that more innovative firms have a better market valuation,investors consider R&D as an asset that produces long-term benefits for corporations. The impact of R&D on firm value differs across countries. It is significantly modulated by the financial and legal environment where firms operate. Other firm and industry characteristics seem to play a determinant role when investors value R&D. First, only larger firms with lower financial leverage that operate in highly innovative sectors decide to disclose their R&D investment. Second, the markets assign a premium to small firms, which operate in hi-tech sectors compared to larger enterprises for low-tech industries. On the other hand, I provide empirical evidence indicating that generally highly R&D-intensive firms may enhance mispricing problems related to firm valuation. As R&D contributes to the estimation of future stock returns, portfolios that comprise high R&D-intensive stocks may earn significant excess returns compared to the less innovative after controlling for size and book-to-market risk. Further, the most innovative firms are generally more risky in terms of stock volatility but not systematically more risky than low-tech firms. Firms that operate in Continental Europe suffer more mispricing compared to Anglo-Saxon peers but the former are less volatile, other things being equal. The sectors where firms operate are determinant even for the impact of R&D on stock returns; this effect is much stronger in hi-tech industries.

Essays on Bank Risk

This PhD Thesis is composed of three chapters, each discussing a specific type of risk that banks face. The first chapter talks about Systemic Risk and how banks get exposed to it through the Interbank Funding Market. Exposures in the said market have Systemic Risk implications because the market creates linkages, where the failure of one party can affect the others in the market. By showing that CDS Spreads, as bank risk indicators, are positively related to their Net Interbank Funding Market Exposures, this chapter establishes the above Systemic Risk Implications of Interbank Funding. Meanwhile, the second chapter discusses how banks may handle Illiquidity Risk, defined as the possibility of having sudden funding needs. Illiquidity Risk is embodied in this chapter through Loan Commitments as they oblige banks to lend to its clients, up to a certain amount of funds at any time. This chapter points out that using Securitization as funding facility, could allow the banks to manage this Illiquidity Risk. To make this case, this chapter demonstrates empirically that banks having an increase in Loan Commitments, may experience an increase in risk profile but such can be offset by an accompanying increase in Securitization Activity. Lastly, the third chapter focuses on how banks manage Credit Risk also through Securitization. Securitization has a Credit Risk management property by allowing the offloading of risk. This chapter investigates how banks use such property by looking at the effect of securitization on the banks’ loan portfolios and overall risk and returns. The findings are that securitization is positively related to loan portfolio size and the portfolio share of risky loans, which translates to higher risk and returns. Thus, this chapter points out that Credit Risk management through Securitization may be have been done towards higher risk taking for high returns.

Risikomaße in der Finanzmathematik

„Risikomaße in der Finanzmathematik“ Der Value-at -Risk (VaR) ist ein Risikomaß, dessen Verwendung von der Bankenaufsicht gefordert wird. Der Vorteil des VaR liegt – als Quantil der Ertrags- oder Verlustverteilung - vor allem in seiner einfachen Interpretierbarkeit. Nachteilig ist, dass der linke Rand der Wahrscheinlichkeitsverteilung nicht beachtet wird. Darüber hinaus ist die Berechnung des VaR schwierig, da Quantile nicht additiv sind. Der größte Nachteil des VaR ist in der fehlenden Subadditivität zu sehen. Deswegen werden Alternativen wie Expected Shortfall untersucht. In dieser Arbeit werden zunächst finanzielle Risikomaße eingeführt und einige ihre grundlegenden Eigenschaften festgehalten. Wir beschäftigen uns mit verschiedenen parametrischen und nichtparametrischen Methoden zur Ermittlung des VaR, unter anderen mit ihren Vorteilen und Nachteilen. Des Weiteren beschäftigen wir uns mit parametrischen und nichtparametrischen Schätzern vom VaR in diskreter Zeit. Wir stellen Portfoliooptimierungsprobleme im Black Scholes Modell mit beschränktem VaR und mit beschränkter Varianz vor. Der Vorteil des erstens Ansatzes gegenüber dem zweiten wird hier erläutert. Wir lösen Nutzenoptimierungsprobleme in Bezug auf das Endvermögen mit beschränktem VaR und mit beschränkter Varianz. VaR sagt nichts über den darüber hinausgehenden Verlust aus, während dieser von Expected Shortfall berücksichtigt wird. Deswegen verwenden wir hier den Expected Shortfall anstelle des von Emmer, Korn und Klüppelberg (2001) betrachteten Risikomaßes VaR für die Optimierung des Portfolios im Black Scholes Modell.

Scenari finanziari e portafogli ottimi: modelli di previsione e strategie per l'asset allocation tattica

Le scelte di asset allocation costituiscono un problema ricorrente per ogni investitore. Quest’ultimo è continuamente impegnato a combinare diverse asset class per giungere ad un investimento coerente con le proprie preferenze. L’esigenza di supportare gli asset manager nello svolgimento delle proprie mansioni ha alimentato nel tempo una vasta letteratura che ha proposto numerose strategie e modelli di portfolio construction. Questa tesi tenta di fornire una rassegna di alcuni modelli innovativi di previsione e di alcune strategie nell’ambito dell’asset allocation tattica, per poi valutarne i risvolti pratici. In primis verificheremo la sussistenza di eventuali relazioni tra la dinamica di alcune variabili macroeconomiche ed i mercati finanziari. Lo scopo è quello di individuare un modello econometrico capace di orientare le strategie dei gestori nella costruzione dei propri portafogli di investimento. L’analisi prende in considerazione il mercato americano, durante un periodo caratterizzato da rapide trasformazioni economiche e da un’elevata volatilità dei prezzi azionari. In secondo luogo verrà esaminata la validità delle strategie di trading momentum e contrarian nei mercati futures, in particolare quelli dell’Eurozona, che ben si prestano all’implementazione delle stesse, grazie all’assenza di vincoli sulle operazioni di shorting ed ai ridotti costi di transazione. Dall’indagine emerge che entrambe le anomalie si presentano con carattere di stabilità. I rendimenti anomali permangono anche qualora vengano utilizzati i tradizionali modelli di asset pricing, quali il CAPM, il modello di Fama e French e quello di Carhart. Infine, utilizzando l’approccio EGARCH-M, verranno formulate previsioni sulla volatilità dei rendimenti dei titoli appartenenti al Dow Jones. Quest’ultime saranno poi utilizzate come input per determinare le views da inserire nel modello di Black e Litterman. I risultati ottenuti, evidenziano, per diversi valori dello scalare tau, extra rendimenti medi del new combined vector superiori al vettore degli extra rendimenti di equilibrio di mercato, seppur con livelli più elevati di rischio.

On the Efficiency of the Benchmarks Used in the Asset Management

In this work we studied the efficiency of the benchmarks used in the asset management industry. In chapter 2 we analyzed the efficiency of the benchmark used for the government bond markets. We found that for the Emerging Market Bonds an equally weighted index for the country weights is probably the more suited because guarantees maximum diversification of country risk but for the Eurozone government bond market we found a GDP weighted index is better because the most important matter is to avoid a higher weight for highly indebted countries. In chapter 3 we analyzed the efficiency of a Derivatives Index to invest in the European corporate bond market instead of a Cash Index. We can state that the two indexes are similar in terms of returns, but that the Derivatives Index is less risky because it has a lower volatility, has values of skewness and kurtosis closer to those of a normal distribution and is a more liquid instrument, as the autocorrelation is not significant. In chapter 4 it is analyzed the impact of fallen angels on the corporate bond portfolios. Our analysis investigated the impact of the month-end rebalancing of the ML Emu Non Financial Corporate Index for the exit of downgraded bond (the event). We can conclude a flexible approach to the month-end rebalancing is better in order to avoid a loss of valued due to the benchmark construction rules. In chapter 5 we did a comparison between the equally weighted and capitalization weighted method for the European equity market. The benefit which results from reweighting the portfolio into equal weights can be attributed to the fact that EW portfolios implicitly follow a contrarian investment strategy, because they mechanically rebalance away from stocks that increase in price.

Gold and the Stock Market: 3 Essays on Gold Investments

This thesis gives an overview of the history of gold per se, of gold as an investment good and offers some institutional details about gold and other precious metal markets. The goal of this study is to investigate the role of gold as a store of value and hedge against negative market movements in turbulent times. I investigate gold’s ability to act as a safe haven during periods of financial stress by employing instrumental variable techniques that allow for time varying conditional covariance. I find broad evidence supporting the view that gold acts as an anchor of stability during market downturns. During periods of high uncertainty and low stock market returns, gold tends to have higher than average excess returns. The effectiveness of gold as a safe haven is enhanced during periods of extreme crises: the largest peaks are observed during the global financial crises of 2007-2009 and, in particular, during the Lehman default (October 2008). A further goal of this thesis is to investigate whether gold provides protection from tail risk. I address the issue of asymmetric precious metal behavior conditioned to stock market performance and provide empirical evidence about the contribution of gold to a portfolio’s systematic skewness and kurtosis. I find that gold has positive coskewness with the market portfolio when the market is skewed to the left. Moreover, gold shows low cokurtosis with the market returns during volatile periods. I therefore show that gold is a desirable investment good to risk averse investors, since it tends to decrease the probability of experiencing extreme bad outcomes, and the magnitude of losses in case such events occur. Gold thus bears very important and under-researched characteristics as an asset class per se, which this thesis contributed to address and unveil.

The Permanent Income Hypothesis: A Test on Czech Privatisation

Since the late eighties, economists have been regarding the transition from command to market economies in Central and Eastern Europe with intense interest. In addition to studying the transition per se, they have begun using the region as a testing ground on which to investigate the validity of certain classic economic propositions. In his research, comprising three articles written in English and totalling 40 pages, Mr. Hanousek uses the so-called "Czech national experiment" (voucher privatisation scheme) to test the permanent income hypothesis (PIH). He took as his inspiration Kreinin's recommendation: "Since data concerning the behaviour of windfall income recipients is relatively scanty, and since such data can constitute an important test of the permanent income hypothesis, it is of interest to bring to bear on the hypothesis whatever information is available". Mr. Hanousek argues that, since the transfer of property to Czech citizens from 1992 to 1994 through the voucher scheme was not anticipated, it can be regarded as windfall income. The average size of the windfall was more than three month's salary and over 60 percent of the Czech population received this unexpected income. Furthermore, there are other reasons for conducting such an analysis in the Czech Republic. Firstly, the privatisation process took place quickly. Secondly, both the economy and consumer behaviour have been very stable. Thirdly, out of a total population of 10 million Czech citizens, an astonishing 6 million, that is, virtually every household, participated in the scheme. Thus Czech voucher privatisation provides a sample for testing the PIH almost equivalent to a full population, thus avoiding problems with the distribution of windfalls. Compare this, for instance with the fact that only 4% of the Israeli urban population received personal restitution from Germany, while the number of veterans who received the National Service Life Insurance Dividends amounted to less than 9% of the US population and were concentrated in certain age groups. But to begin with, Mr. Hanousek considers the question of whether the public percieves the transfer from the state to individual as an increase in net wealth. It can be argued that the state is only divesting itself of assets that would otherwise provide a future source of transfers. According to this argument, assigning these assets to individuals creates an offsetting change in the present value of potential future transfers so that individuals are no better off after the transfer. Mr. Hanousek disagrees with this approach. He points out that a change in the ownership of inefficient state-owned enterprises should lead to higher efficiency, which alone increases the value of enterprises and creates a windfall increase in citizens' portfolios. More importantly, the state and individuals had very different preferences during the transition. Despite government propaganda, it is doubtful that citizens of former communist countries viewed government-owned enterprises as being operated in the citizens' best interest. Moreover, it is unlikely that the public fully comprehended the sophisticated links between the state budget, state-owned enterprises, and transfers to individuals. Finally, the transfers were not equal across the population. Mr. Hanousek conducted a survey on 1263 individuals, dividing them into four monthly earnings categories. After determining whether the respondent had participated in the voucher process, he asked those who had how much of what they received from voucher privatisation had been (a) spent on goods and services, (b) invested elsewhere, (c) transferred to newly emerging pension funds, (d) given to a family member, and (e) retained in their original form as an investment. Both the mean and the variance of the windfall rise with income. He obtained similar results with respect to education, where the mean (median) windfall for those with a basic school education was 13,600 Czech Crowns (CZK), a figure that increased to 15,000 CZK for those with a high school education without exams, 19,900 CZK for high school graduates with exams, and 24,600 CZK for university graduates. Mr. Hanousek concludes that it can be argued that higher income (and better educated) groups allocated their vouchers or timed the disposition of their shares better. He turns next to an analysis of how respondents reported using their windfalls. The key result is that only a relatively small number of individuals reported spending on goods. Overall, the results provide strong support for the permanent income hypothesis, the only apparent deviation being the fact that both men and women aged 26 to 35 apparently consume more than they should if the windfall were annuitised. This finding is still fully consistent with the PIH, however, if this group is at a stage in their life-cycle where, without the windfall, they would be borrowing to finance consumption associated with family formation etc. Indeed, the PIH predicts that individuals who would otherwise borrow to finance consumption would consume the windfall up to the level equal to the annuitised fraction of the increase in lifetime income plus the full amount of the previously planned borrowing for consumption. Greater consumption would then be financed, not from investing the windfall, but from avoidance of future repayment obligations for debts that would have been incurred without the windfall.