Asset management of wastewater networks

Asset Management (AM) is a set of procedures operable at the strategic-tacticaloperational level, for the management of the physical asset���s performance, associated risks and costs within its whole life-cycle. AM combines the engineering, managerial and informatics points of view. In addition to internal drivers, AM is driven by the demands of customers (social pull) and regulators (environmental mandates and economic considerations). AM can follow either a top-down or a bottom-up approach. Considering rehabilitation planning at the bottom-up level, the main issue would be to rehabilitate the right pipe at the right time with the right technique. Finding the right pipe may be possible and practicable, but determining the timeliness of the rehabilitation and the choice of the techniques adopted to rehabilitate is a bit abstruse. It is a truism that rehabilitating an asset too early is unwise, just as doing it late may have entailed extra expenses en route, in addition to the cost of the exercise of rehabilitation per se. One is confronted with a typical ���Hamlet-isque dilemma��� ��� ���to repair or not to repair���; or put in another way, ���to replace or not to replace���. The decision in this case is governed by three factors, not necessarily interrelated ��� quality of customer service, costs and budget in the life cycle of the asset in question. The goal of replacement planning is to find the juncture in the asset���s life cycle where the cost of replacement is balanced by the rising maintenance costs and the declining level of service. System maintenance aims at improving performance and maintaining the asset in good working condition for as long as possible. Effective planning is used to target maintenance activities to meet these goals and minimize costly exigencies. The main objective of this dissertation is to develop a process-model for asset replacement planning. The aim of the model is to determine the optimal pipe replacement year by comparing, temporally, the annual operating and maintenance costs of the existing asset and the annuity of the investment in a new equivalent pipe, at the best market price. It is proposed that risk cost provide an appropriate framework to decide the balance between investment for replacing or operational expenditures for maintaining an asset. The model describes a practical approach to estimate when an asset should be replaced. A comprehensive list of criteria to be considered is outlined, the main criteria being a vis��- vis between maintenance and replacement expenditures. The costs to maintain the assets should be described by a cost function related to the asset type, the risks to the safety of people and property owing to declining condition of asset, and the predicted frequency of failures. The cost functions reflect the condition of the existing asset at the time the decision to maintain or replace is taken: age, level of deterioration, risk of failure. The process model is applied in the wastewater network of Oslo, the capital city of Norway, and uses available real-world information to forecast life-cycle costs of maintenance and rehabilitation strategies and support infrastructure management decisions. The case study provides an insight into the various definitions of ���asset lifetime��� ��� service life, economic life and physical life. The results recommend that one common value for lifetime should not be applied to the all the pipelines in the stock for investment planning in the long-term period; rather it would be wiser to define different values for different cohorts of pipelines to reduce the uncertainties associated with generalisations for simplification. It is envisaged that more criteria the municipality is able to include, to estimate maintenance costs for the existing assets, the more precise will the estimation of the expected service life be. The ability to include social costs enables to compute the asset life, not only based on its physical characterisation, but also on the sensitivity of network areas to social impact of failures. The type of economic analysis is very sensitive to model parameters that are difficult to determine accurately. The main value of this approach is the effort to demonstrate that it is possible to include, in decision-making, factors as the cost of the risk associated with a decline in level of performance, the level of this deterioration and the asset���s depreciation rate, without looking at age as the sole criterion for making decisions regarding replacements.

Le scelte di investimento dei fondi pensioni italiani: un���analisi degli asset immobiliari

Il lavoro persegue l���obiettivo generale di indagare sulle scelte di investimento dei fondi pensione italiani. Per giungere al suddetto obiettivo il lavoro si articola in quattro capitoli principali corredati da premessa e conclusioni. Il primo capitolo si preoccupa di analizzare in quale modo le scelte operate dal legislatore italiano abbiano influenzato e influenzino le politiche di investimento dei fondi pensione. E��� indubbio, infatti, che l���intervento del legislatore abbia un forte ascendente sull���operativit�� dei fondi e possa limitarne o, viceversa, agevolarne l���attivit��. Alla luce di queste considerazioni, il secondo capitolo mira ad analizzare nel concreto l���influenza delle scelte operate dal legislatore sullo sviluppo del mercato dei fondi pensione italiani. In sostanza, l���obiettivo �� quello di fornire informazioni circa il mercato italiano dei fondi pensione sviluppatosi in conseguenza alla normativa test�� presentata. Il successivo capitolo, il terzo, propone un���analisi della letteratura che, nel contesto nazionale ed internazionale, ha analizzato la tematica dei fondi pensione. Pi�� nel dettaglio, si propone una disamina dei riferimenti letterari che, affrontando il problema della gestione finanziaria dei fondi pensione, trattano delle politiche e delle scelte di investimento operate da questi. Il quarto capitolo riguarda un���analisi empirica mirata ad analizzare le politiche di investimento dei fondi pensione, in particolare quelle relative agli investimenti alternativi e soprattutto, tra questi, quelli immobiliari. L���obiettivo generale perseguito �� quello di analizzare la composizione del patrimonio dei fondi appartenenti al campione considerato e ricavarne indicazioni circa le scelte manageriali operate dai fondi, nonch�� trarre indicazioni circa lo spazio riservato e/o riservabile alle asset class alternative, soprattutto a quelle di tipo immobiliare. Si evidenzia, infatti, che la verifica presentata riguarda prevalentemente gli investimenti immobiliari che rappresentano nella realt�� italiana l���alternative class maggiormente diffusa. L���analisi si concentra, anche se in modo inferiore e con un approccio quasi esclusivamente qualitativo, su altre asset class alternative (hedge fund e private equity). Si precisa, inoltre, che la volont�� di focalizzare la verifica sugli alternative investment limita l���analisi ai soli fondi pensione preesistenti che, ad oggi, rappresentano l���unica categoria alla quale �� consentito effettuare investimenti di tipo alternativo. A differenza dei fondi di nuova generazione, tali fondi, infatti, non sono sottoposti a limitazioni nell���attivit�� di investimento e, almeno in linea teorica, essi possono optare senza alcuna restrizione per l���asset allocation ritenuta pi�� appropriata Tre sono le domande di ricerca a cui l���analisi proposta mira a dare risposta: Quale �� la dimensione e la composizione del portafoglio dei fondi pensione preesistenti? Quale �� la dimensione e la tipologia di investimento immobiliare all���interno del portafoglio dei fondi pensione preesistenti? Esiste uno ���spazio��� ulteriore per gli investimenti immobiliari e/o per altri alternative investment nel portafoglio dei fondi pensione preesistenti? L���analisi �� condotta su un campione di dieci fondi preesistenti, che rappresenta il 60% dell���universo di riferimento (dei 29 fondi pensione preesistenti che investono in immobiliare) e la metodologia utilizzata �� quella della case study. Le dieci case study, una per ogni fondo preesistente analizzato, sono condotte e presentate secondo uno schema quanto pi�� standard e si basano su varie tipologie di informazioni reperite da tre differenti fonti. 2 La prima fonte informativa utilizzata �� rappresentata dai bilanci o rendiconti annuali dei fondi analizzati. A questi si aggiungono i risultati di un���intervista svolta nei mesi di gennaio e febbraio 2008, ai direttori generali o ai direttori dell���area investimento dei fondi. Le interviste aggiungono informazioni prevalentemente di tipo qualitativo, in grado di descrivere le scelte manageriali operate dai fondi in tema di politica di investimento. Infine, laddove presente, sono state reperite informazioni anche dai siti internet che in taluni casi i fondi possiedono. Dalle case study condotte �� possibile estrapolare una serie di risultati, che consentono di dare risposta alle tre domande di ricerca poste in precedenza. Relativamente alla prima domanda, �� stato possibile stabilire che il portafoglio dei fondi pensione preesistenti analizzati cresce nel tempo. Esso si compone per almeno un terzo di titoli di debito, prevalentemente titoli di stato, e per un altro terzo di investimenti immobiliari di vario tipo. Il restante terzo �� composto da altre asset class, prevalentemente investimenti in quote di OICR. Per quanto riguarda la politica d���investimento, si rileva che mediamente essa �� caratterizzata da un���alta avversione al rischio e pochissimi sono i casi in cui i fondi prevedono linee di investimento aggressive. Relativamente alla seconda domanda, si osserva che la dimensione dell���asset class immobiliare all���interno del portafoglio raggiunge una quota decrescente nell���arco di tempo considerato, seppur rilevante. Al suo interno prevalgono nettamente gli investimenti diretti in immobili. Seguono le partecipazioni in societ�� immobiliari. L���analisi ha permesso, poi, di approfondire il tema degli investimenti immobiliari consentendo di trarre indicazioni circa le loro caratteristiche. Infine, relativamente all���ultima domanda di ricerca, i dati ottenuti, soprattutto per mezzo delle interviste, permettono di stabilire che, almeno con riferimento al campione analizzato, l���investimento immobiliare perde quota e in parte interesse. Questo risulta vero soprattutto relativamente agli investimenti immobiliari di tipo diretto. I fondi con patrimoni immobiliari rilevanti, infatti, sono per la totalit�� nel mezzo di processi di dismissione degli asset, mirati, non tanto all���eliminazione dell���asset class, ma piuttosto ad una riduzione della stessa, conformemente anche a quanto richiesto dalle recenti normative. Le interviste hanno messo in luce, tuttavia, che a fronte di un���esigenza generale di contentere la quota investita, l���asset immobiliare �� considerato positivamente soprattutto in termini di opportunit�� di diversificazione di portafoglio e buoni rendimenti nel lungo periodo. I fondi appaiono interessati in modo particolare a diversificare il portafoglio immobiliare, dismettendo parte degli asset detenuti direttamente e aumentando al contrario le altre tipologie di investimento immobiliare, soprattutto quote di OICR immobiliari. Altrettanto positivi i giudizi relativi alle altre asset class alternative. Pur restando ancora limitato il totale delle risorse destinate, tali investimenti sono percepiti come una buona opportunit�� di diversificazione del portafoglio. In generale, si �� rilevato che, anche laddove l���investimento non �� presente o �� molto ridotto, nel breve periodo �� intenzione del management aumentare la quota impiegata.

Non-Linear Pricing in Imperfectly Competitive Markets

This thesis is dedicated to the analysis of non-linear pricing in oligopoly. Non-linear pricing is a fairly predominant practice in most real markets, mostly characterized by some amount of competition. The sophistication of pricing practices has increased in the latest decades due to the technological advances that have allowed companies to gather more and more data on consumers preferences. The first essay of the thesis highlights the main characteristics of oligopolistic non-linear pricing. Non-linear pricing is a special case of price discrimination. The theory of price discrimination has to be modified in presence of oligopoly: in particular, a crucial role is played by the competitive externality that implies that product differentiation is closely related to the possibility of discriminating. The essay reviews the theory of competitive non-linear pricing by starting from its foundations, mechanism design under common agency. The different approaches to model non-linear pricing are then reviewed. In particular, the difference between price and quantity competition is highlighted. Finally, the close link between non-linear pricing and the recent developments in the theory of vertical differentiation is explored. The second essay shows how the effects of non-linear pricing are determined by the relationship between the demand and the technological structure of the market. The chapter focuses on a model in which firms supply a homogeneous product in two different sizes. Information about consumers' reservation prices is incomplete and the production technology is characterized by size economies. The model provides insights on the size of the products that one finds in the market. Four equilibrium regions are identified depending on the relative intensity of size economies with respect to consumers' evaluation of the good. Regions for which the product is supplied in a single unit or in several different sizes or in only a very large one. Both the private and social desirability of non-linear pricing varies across different equilibrium regions. The third essay considers the broadband internet market. Non discriminatory issues seem the core of the recent debate on the opportunity or not of regulating the internet. One of the main questions posed is whether the telecom companies, owning the networks constituting the internet, should be allowed to offer quality-contingent contracts to content providers. The aim of this essay is to analyze the issue through a stylized two-sided market model of the web that highlights the effects of such a discrimination over quality, prices and participation to the internet of providers and final users. An overall welfare comparison is proposed, concluding that the final effects of regulation crucially depend on both the technology and preferences of agents.

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.

Progetto di integrazione di strumenti per l'asset management in funzione di privacy e sicurezza

Progetto per l'integrazione degli strumenti attualmente utilizzati per l'amministrazione degli asset in funzione anche della normativa in vigore.

Essays on Asset Trade

The overreaching methodology of my Ph.D. thesis is to substitute noise traders with rational traders. I do so by considering liquidity asymmetry between informed trader and uninformed traders. Liquidity asymmetry creates a motive for trade. Under this new setup, I study the impact of asset trade on the real economy, represented by a firm with an investment opportunity, in chapter 1 ("Efficient Asset Trade - A Model with Asymmetric Information and Asymmetric Liquidity Needs"). I find conditions for which asset trade leads to inefficient investment. Chapter 2 ("(In)Efficient Asset Trade and a Rationale for a Tobin Tax") characterizes a tax which can restore efficient investment. In chapter 3, I show that finitely repeated trade, as in Kyle (1985) and Ostrovsky (2012), does not necessarily lead to information revelation if traders are fully rational.

Pricing in stochastic-local volatility models with default

In recent years is becoming increasingly important to handle credit risk. Credit risk is the risk associated with the possibility of bankruptcy. More precisely, if a derivative provides for a payment at cert time T but before that time the counterparty defaults, at maturity the payment cannot be effectively performed, so the owner of the contract loses it entirely or a part of it. It means that the payoff of the derivative, and consequently its price, depends on the underlying of the basic derivative and on the risk of bankruptcy of the counterparty. To value and to hedge credit risk in a consistent way, one needs to develop a quantitative model. We have studied analytical approximation formulas and numerical methods such as Monte Carlo method in order to calculate the price of a bond. We have illustrated how to obtain fast and accurate pricing approximations by expanding the drift and diffusion as a Taylor series and we have compared the second and third order approximation of the Bond and Call price with an accurate Monte Carlo simulation. We have analysed JDCEV model with constant or stochastic interest rate. We have provided numerical examples that illustrate the effectiveness and versatility of our methods. We have used Wolfram Mathematica and Matlab.

Un modello di asset allocation strategica

La tesi affronta il problema di Finanza Matematica dell'asset allocation strategica che consiste nel processo di ripartizione ottimale delle risorse tra diverse attivit�� finanziarie presenti su un mercato. Sulla base della teoria di Harry Markowitz, attraverso passaggi matematici rigorosi si costruisce un portafoglio che risponde a dei requisiti di efficienza in termini di rapporto rischio-rendimento. Vengono inoltre forniti esempi di applicazione elaborati attraverso il software Mathematica.

Increasing Utilization of US Electric Grids via Smart Technologies: Integration of Load Management, Real Time Pricing, Renewables, EVs and Smart Grid Sensors

Electric power grids throughout the world suffer from serious inefficiencies associated with under-utilization due to demand patterns, engineering design and load following approaches in use today. These grids consume much of the world���s energy and represent a large carbon footprint. From material utilization perspectives significant hardware is manufactured and installed for this infrastructure often to be used at less than 20-40% of its operational capacity for most of its lifetime. These inefficiencies lead engineers to require additional grid support and conventional generation capacity additions when renewable technologies (such as solar and wind) and electric vehicles are to be added to the utility demand/supply mix. Using actual data from the PJM [PJM 2009] the work shows that consumer load management, real time price signals, sensors and intelligent demand/supply control offer a compelling path forward to increase the efficient utilization and carbon footprint reduction of the world���s grids. Underutilization factors from many distribution companies indicate that distribution feeders are often operated at only 70-80% of their peak capacity for a few hours per year, and on average are loaded to less than 30-40% of their capability. By creating strong societal connections between consumers and energy providers technology can radically change this situation. Intelligent deployment of smart sensors, smart electric vehicles, consumer-based load management technology very high saturations of intermittent renewable energy supplies can be effectively controlled and dispatched to increase the levels of utilization of existing utility distribution, substation, transmission, and generation equipment. The strengthening of these technology, society and consumer relationships requires rapid dissemination of knowledge (real time prices, costs & benefit sharing, demand response requirements) in order to incentivize behaviors that can increase the effective use of technological equipment that represents one of the largest capital assets modern society has created.