On the efficiency of the Argentinean electricity wholesale market

This paper discusses two key aspects regarding the efficiency of the Argentinean Electricity Market. Using hourly data on prices, marginal costs, and operational status of generators, it will be argued that, unlike the former British and Californian electricity spot markets, this market is not subject to the conventional forms of exercise of market power by generators. We then use Chao's (1983) model of optimal configuation of electricity supply to evaluate the social desirability of the change in the supply pattern of the Argentinean electricity industry, which took place throughout the last ten years.

Project portfolio management: an analysis from the insurance industry IT area

This paper aims to bring more information related to the critical question "how IT areas of insurance companies are defining and delivering their strategic initiatives Portfolios?" and make conclusions based on the collected data. To reach these interpretations, it is composed of a theoretical investigation on the theme, a strategy delineation for the research methodology and a conclusion presentation based on the findings. In this last part, this study concluded that explored organization does not applied a sufficient number of best practices answering the critical question as "the company is not mature on this subject".

Otimização da medida Omega de um portfolio de ações com a utilização de opções do Índice Bovespa

O uso de opções no mercado financeiro tem ganhado relevância devido ao seu payoff não-linear e a possibilidade de alterar o perfil da distribuição de retornos de um portfolio. Existem diversas estratégias que são adequadas para cada cenário que o investidor acredita estar exposto, mas como o conjunto de cenários forma uma distribuição de retornos, devemos utilizar uma medida adequada para trabalhar com este tipo de informação. Assim, foi utilizada a medida Omega, que é uma medida capaz de capturar todos os momentos de uma distribuição, dado um limiar de retornos. Este trabalho se propõe a desenvolver uma metodologia que possibilite otimizar a medida Omega de um portfolio, através do uso de opções sobre o IBOVESPA. Para a geração das distribuições de retornos foi utilizada simulação de Monte Carlo, com jumps e volatilidade estocástica. Finalmente, foram feitas diversas análises sobre os resultados obtidos, afim de comparar a estratégia otimizada com diversas estratégias aleatórias, e também, realizado um backtest para avaliar a eficácia da implementação da estratégia otimizada.

International portfolio diversification: evidence from emerging markets

Taking into account previous research we could assume to be beneficial to diversify investments in emerging economies. We investigate in the paper International Portfolio Diversification: evidence from Emerging Markets if it still holds true, given the assumption of larger world markets integration. Our results suggest a wide spread positive time-varying correlations of emerging and developed markets. However, pair-wise cross-country correlations gave evidence that emerging markets have low integration with developed markets. Consequently, we evaluate out-of-sample performance of a portfolio with emerging equity countries, confirming the initial statement that it has a better a risk-adjusted performance over a purely developed markets portfolio.

Revisiting modern portfolio theory

This paper revisits Modern Portfolio Theory and derives eleven properties of Efficient Allocations and Portfolios in the presence of leverage. With different degrees of leverage, an Efficient Portfolio is a linear combination of two portfolios that lie in different efficient frontiers - which allows for an attractive reinterpretation of the Separation Theorem. In particular a change in the investor risk-return preferences will leave the allocation between the Minimum Risk and Risk Portfolios completely unaltered - but will change the magnitudes of the tactical risk allocations within the Risk Portfolio. The paper also discusses the role of diversification in an Efficient Portfolio, emphasizing its more tactical, rather than strategic character

Analysis of a molten carbonate fuel cell: cogeneration to produce electricity and cold water

The fuel cell is an emerging cogeneration technology that has been applied successfully in Japan, the USA and some countries in the European Union. This system performs direct conversion of the chemical energy of the oxidation of hydrogen from fuel with atmospheric oxygen into direct current electricity and waste heat via an electrochemical process relying on the use of different electrolytes (phosphoric acid, molten carbonate and solid oxide, depending on operating temperature). This technology permits the recovery of waste heat, available from 200 degreesC up to 1000 degreesC depending on the electrolyte technology, which can be used in the production of steam, hot or cold water, or hot or cold air, depending on the associated recuperation equipment. In this paper, an energy, exergy and economic analysis of a fuel cell cogeneration system (FCCS) is presented. The FCCS is applied in a segment of the tertiary sector to show that it is a feasible alternative for rational decentralized energy production under Brazilian conditions. The technoeconomic analysis shows a global efficiency or fuel utilization efficiency of 86%. Analysis shows that the exergy losses in the fuel cell unit and the absorption refrigeration system are significant. Furthermore, the payback period estimated is about 3 and 5 years for investments in fuel cells of 1000 and 1500 US$/kW, respectively. (C) 2001 Elsevier B.V. Ltd. All rights reserved.

Electricity, hot water and cold water production from biomass. Energetic and economical analysis of the compact system of cogeneration run with woodgas from a small downdraft gasifier

Wood gasification technologies to convert the biomass into fuel gas stand out. on the other hand, producing electrical energy from stationary engine is widely spread, and its application in rural communities where the electrical network doesn't exist is very required. The recovery of exhaust gases (engine) is a possibility that makes the system attractive when compared with the same components used to obtain individual heat such as electric power. This paper presents an energetic alternative to adapt a fixed bed gasifier with a compact cogeneration system in order to cover electrical and thermal demands in a rural area and showing an energy solution for small social communities using renewable fuels. Therefore, an energetic and economical analysis from a cogeneration system producing electric energy, hot and cold water, using wooden gas as fuel from a small-sized gasifier was calculated. The energy balance that includes the energy efficiency (electric generation as well as hot and cold water system; performance coefficient and the heat exchanger, among other items), was calculated. Considering the annual interest rates and the amortization periods, the costs of production of electrical energy, hot and cold water were calculated, taking into account the investment, the operation and the maintenance cost of the equipments. Crown Copyright (C) 2010 Published by Elsevier Ltd. All rights reserved.

Oil-exporting countries' investment portfolio: diversification toward Latin America

Includes bibliography

Seminar on the regulation of public utilities: water and electricity

Includes bibliography

Summary of the presentation at the seminar on the regulation of public utilities: water and electricity

Includes bibliography

Summary of the presentation at the seminar on the regulation of public utilities: water and electricity

Includes bibliography

Basel II: developing countries and portfolio diversification

Includes bibliography

Expansion of the electricity sector in Latin America and its capital requirements

Includes bibliography