How effective are heuristic solutions for electricity planning in developing countries

Acknowledgement The first author would like to acknowledge the University of Aberdeen and the Henderson Economics Research Fund for funding his PhD studies in the period 2011-2014 which formed the basis for the research presented in this paper. The first author would also like to acknowledge the Macaulay Development Trust which funds his postdoctoral fellowship with The James Hutton Institute, Aberdeen, Scotland. The authors thank two anonymous referees for valuable comments and suggestions on earlier versions of this paper. All usual caveats apply

A Comprehensive Portfolio Construction Under Stochastic Environment

Prior research has established that idiosyncratic volatility of the securities prices exhibits a positive trend. This trend and other factors have made the merits of investment diversification and portfolio construction more compelling. A new optimization technique, a greedy algorithm, is proposed to optimize the weights of assets in a portfolio. The main benefits of using this algorithm are to: a) increase the efficiency of the portfolio optimization process, b) implement large-scale optimizations, and c) improve the resulting optimal weights. In addition, the technique utilizes a novel approach in the construction of a time-varying covariance matrix. This involves the application of a modified integrated dynamic conditional correlation GARCH (IDCC - GARCH) model to account for the dynamics of the conditional covariance matrices that are employed. The stochastic aspects of the expected return of the securities are integrated into the technique through Monte Carlo simulations. Instead of representing the expected returns as deterministic values, they are assigned simulated values based on their historical measures. The time-series of the securities are fitted into a probability distribution that matches the time-series characteristics using the Anderson-Darling goodness-of-fit criterion. Simulated and actual data sets are used to further generalize the results. Employing the S&P500 securities as the base, 2000 simulated data sets are created using Monte Carlo simulation. In addition, the Russell 1000 securities are used to generate 50 sample data sets. The results indicate an increase in risk-return performance. Choosing the Value-at-Risk (VaR) as the criterion and the Crystal Ball portfolio optimizer, a commercial product currently available on the market, as the comparison for benchmarking, the new greedy technique clearly outperforms others using a sample of the S&P500 and the Russell 1000 securities. The resulting improvements in performance are consistent among five securities selection methods (maximum, minimum, random, absolute minimum, and absolute maximum) and three covariance structures (unconditional, orthogonal GARCH, and integrated dynamic conditional GARCH).

Multivariate Appoximations to Portfolio Return Distribution

This article proposes a three-step procedure to estimate portfolio return distributions under the multivariate Gram-Charlier (MGC) distribution. The method combines quasi maximum likelihood (QML) estimation for conditional means and variances and the method of moments (MM) estimation for the rest of the density parameters, including the correlation coefficients. The procedure involves consistent estimates even under density misspecification and solves the so-called ‘curse of dimensionality’ of multivariate modelling. Furthermore, the use of a MGC distribution represents a flexible and general approximation to the true distribution of portfolio returns and accounts for all its empirical regularities. An application of such procedure is performed for a portfolio composed of three European indices as an illustration. The MM estimation of the MGC (MGC-MM) is compared with the traditional maximum likelihood of both the MGC and multivariate Student’s t (benchmark) densities. A simulation on Value-at-Risk (VaR) performance for an equally weighted portfolio at 1% and 5% confidence indicates that the MGC-MM method provides reasonable approximations to the true empirical VaR. Therefore, the procedure seems to be a useful tool for risk managers and practitioners.

Pure higher-order effects in the portfolio choice model

This paper examines the effects of higher-order risk attitudes and statistical moments on the optimal allocation of risky assets within the standard portfolio choice model. We derive the expressions for the optimal proportion of wealth invested in the risky asset to show they are functions of portfolio returns third- and fourth-order moments as well as on the investor’s risk preferences of prudence and temperance. We illustrate the relative importance that the introduction of those higher-order effects have in the decision of expected utility maximizers using data for the US.

Reputation performance: a portfolio selection approach

This paper introduces a normative view on corporate reputation strategic management. Reputation performance is conceptualised as the outcome of complex processes and social interactions and the lack of a holistic reputation performance management framework is identified. In an attempt to fill this gap, a portfolio-based approach is put forward. Drawing on the foundations of modern portfolio theory we create a portfolio-based reputation management algorithmic model where reputation components and priorities are weighted by decision makers and shape organisational change in an attempt to formulate a corporate reputation strategy. The rationale of this paper is based on the foundational consideration of organisations as choosing he optimal strategy by seeking to maximise their reputation performance while maintaining organisational stability and minimising organisational risk.

Reputation Performance: a portfolio selection approach

This paper introduces a normative view on corporate reputation management; an algorithmic model for reputation-driven strategic decision making is proposed and corporate reputation is conceptualized as influenced by a selection among organizational priorities. A portfolio-based approach is put forward; we draw on the foundations of portfolio theory and we create a portfolio-based reputation management model where reputation components and priorities are weighted by decision makers and shape organizational change in an attempt to formulate a corporate reputation strategy. The rationale of this paper is based on the foundational consideration of organizations as choosing the optimal strategy by seeking to maximize performance on corporate reputation capital while maintaining organizational stability and minimizing organizational risk.

Le portfolio d'apprentissage numérique : un outil intégrateur au service du développement de compétences dans le programme Techniques juridiques.

L'objectif principal de cette recherche est de déterminer si le transfert des apprentissages est facilité par l'utilisation d'un tel portfolio, à titre de mesure de soutien à l'apprentissage, puisqu'une problématique a été identifiée chez la population étudiante en Techniques juridiques au Collège Ahuntsic, en ce que la désorganisation des apprentissages et la difficulté à faire des liens entre les cours sont observables. Nous avons donc imaginé une solution possible à cet écueil (développement et utilisation d’un portfolio d’apprentissage numérique) afin d’en déterminer le potentiel comme outil intégrateur pouvant faciliter le développement de compétences, par le support qu’il offre pour réactiver les connaissances antérieures, mobiliser et combiner les ressources, actions qui permettent le transfert des apprentissages.

Essays on market design and regulation in electricity systems

This thesis discusses market design and regulation in electricity systems, focusing on the information exchange of the regulated grid firm and the generation firms as well as the regulation of the grid firm. In the first chapter, an economic framework is developed to consistently analyze different market designs and the information exchange between the grid firm and the generation firms. Perfect competition between the generation firms and perfect regulation of the grid firm is assumed. A numerical algorithm is developed and its feasibility demonstrated on a large-scale problem. The effects of different market designs for the Central Western European (CWE) region until 2030 are analyzed. In the second chapter, the consequences of restricted grid expansion within the current market design in the CWE region until 2030 are analyzed. In the third chapter the assumption of efficient markets is modified. The focus of the analysis is then, whether and how inefficiencies in information availability and processing affect different market designs. For different parameter settings, nodal and zonal pricing are compared regarding their welfare in the spot and forward market. In the fourth chapter, information asymmetries between the regulator and the regulated firm are analyzed. The optimal regulatory strategy for a firm, providing one output with two substitutable inputs, is defined. Thereby, one input and the absolute quantity of inputs is not observable for the regulator. The result is then compared to current regulatory approaches.

Construction d'outils d'évaluation d'une formation au portfolio de compétences : cas d'une formation de formateurs en France

L'objectif poursuivit rejoint davantage une démarche de reconnaissance personnelle, de bilan personnel et professionnel. L'expérimentation de cette démarche m'a conduite au-delà des frontières du Québec. Depuis 1989, j'interviens maintenant en France auprès de formateurs et d'intervenants qui oeuvrent auprès de clientèles jeunes tout autant qu'adultes. Nous continuons ensemble d'expérimenter la démarche et de l'adapter, toujours dans une optique d'autoformation, d'auto-évaluation et d'auto-orientation . Mon rôle d'accompagnatrice et de formatrice dans cette démarche est maintenant chose acquise. Il me manque des outils d'évaluation formels et crédibles pour que cette démarche formative ne soit pas déformée par tous les courants et pratiques en cours. Comme il s'agit d'améliorer des outils d'évaluation pour une formation déjà existante, le cadre conceptuel de la formation en tant que telle n'a pas fait l'objet d'une longue élaboration , celui-ci ayant fait l'objet de travaux antérieurs (Robin 1992 et 1993). L'objectif a été plutôt concentré sur l'évaluation et l'autoévaluation d'apprentissage. Après avoir campé la problématique et le sujet de recherche, la méthodologie utilisée pour l'élaboration d'un portfolio de compétences sera présentée. Le cadre théorique suivra alors avec les notions d'autoformation d'apprentissage et d'évaluation. Une description de la formation de formateurs menée à Montpellier - France - concrétisera le contexte d'application des outils d'évaluation qui devront être améliorés. Une analyse critique de ces outils sera apportée afin de les améliorer ou de les modifier au besoin. Un apport théorique sur la construction d'outils formels conduira à la création de nouveaux outils respectant les normes de validité. En annexe 1, se trouvent tous les documents relatifs à la formation menée à Montpellier ainsi que ceux accompagnant l'évaluation de cette formation à l'élaboration d'un portfolio de compétences. Une présentation des nouveaux outils d'évaluation à l'usage de l’évaluateur et des formateurs stagiaires fait l'objet de deux documents annexés à cet essai.

The use of solar colletor for heating and electricity for a single family house

The presented work is related to the use of solar energy for the needs of heating and electricity for a single house located in Poland. Electricity will provided by energy conversion in the turbine by means of Organic Rankine Cycle (ORC), in which the operating medium (water heated in solar collector) is heating refrigerator in the heating exchanger. The solar installation is integrated with heat accumulator and wood boiler, which is used in the situation that collector is not enough to fill requirements of thermal comfort. There are chosen also all the necessary components of the system. In the work is also performed the economic assessment, by F chart method, to evaluate the profitability of the project, taking into total costs and savings.

Effects of Information and Time of Use Pricing on Irish Electricity Demand and Supply

In this dissertation I quantify residential behavior response to interventions designed to reduce electricity demand at different periods of the day. In the first chapter, I examine the effect of information provision coupled with bimonthly billing, monthly billing, and in-home displays, as well as a time-of-use (TOU) pricing scheme to measure consumption over each month of the Irish Consumer Behavior Trial. I find that time-of-use pricing with real time usage information reduces electricity usage up to 8.7 percent during peak times at the start of the trial but the effect decays over the first three months and after three months the in-home display group is indistinguishable from the monthly treatment group. Monthly and bi-monthly billing treatments are not found to be statistically different from another. These findings suggest that increasing billing reports to the monthly level may be more cost effective for electricity generators who wish to decrease expenses and consumption, rather than providing in-home displays. In the following chapter, I examine the response of residential households after exposure to time of use tariffs at different hours of the day. I find that these treatments reduce electricity consumption during peak hours by almost four percent, significantly lowering demand. Within the model, I find evidence of overall conservation in electricity used. In addition, weekday peak reductions appear to carry over to the weekend when peak pricing is not present, suggesting changes in consumer habit. The final chapter of my dissertation imposes a system wide time of use plan to analyze the potential reduction in carbon emissions from load shifting based on the Ireland and Northern Single Electricity Market. I find that CO2 emissions savings are highest during the winter months when load demand is highest and dirtier power plants are scheduled to meet peak demand. TOU pricing allows for shifting in usage from peak usage to off peak usage and this shift in load can be met with cleaner and cheaper generated electricity from imports, high efficiency gas units, and hydro units.

An alternative benchmarking approach for electricity utility regulation using maximum entropy

The main purpose of this study is to present an alternative benchmarking approach that can be used by national regulators of utilities. It is widely known that the lack of sizeable data sets limits the choice of the benchmarking method and the specification of the model to set price controls within incentive-based regulation. Ill-posed frontier models are the problem that some national regulators have been facing. Maximum entropy estimators are useful in the estimation of such ill-posed models, in particular in models exhibiting small sample sizes, collinearity and non-normal errors, as well as in models where the number of parameters to be estimated exceeds the number of observations available. The empirical study involves a sample data used by the Portuguese regulator of the electricity sector to set the parameters for the electricity distribution companies in the regulatory period of 2012-2014. DEA and maximum entropy methods are applied and the efficiency results are compared.

Validation des besoins en vue de la création d’un portfolio virtuel pour le suivi de la compétence «effectuer des méthodes d’évaluation et des méthodes de soins» dans le cadre du Programme de soins infirmiers au Cégep de Thetford

Les stages en milieux hospitaliers offrent une opportunité aux personnes étudiantes dans le domaine de la santé d’exécuter différentes méthodes d’évaluation et des méthodes de soins. Le Programme de soins infirmiers offre plusieurs de ces stages. Pour chaque stage, les personnes étudiantes elles doivent faire une liste des méthodes d’évaluation et des méthodes de soins effectuées dans un cahier. Elles doivent aussi y faire leur autoévaluation sur, par exemples, le déroulement de la méthode de soins, sur la relation avec le patient, ses difficultés... Le Programme de soins infirmiers comprenant 11 différents stages sur les 3 ans, il devient difficile d’avoir un suivi des acquis antérieurs et une bonne évaluation de la compétence. La création d’un portfolio sur les techniques effectuées lors des stages, permettra le suivi et l’évaluation des apprentissages relatifs à la compétence « utiliser des méthodes d’évaluation et des méthodes de soins » (Gouvernement du Québec, 2004) et ce, sur toute la durée du programme, soit trois ans, plutôt que sur la base d’un seul stage. Pour ce faire, un questionnaire en ligne a été complété par 46 personnes étudiantes et enseignantes dans le Programme de soins infirmiers du Cégep de Thetford. Suite à l’analyse, des focus groupes ont eu lieu pour valider ou clarifier certaines informations. L’analyse du questionnaire a permis de voir que la majorité des personnes répondantes est ouverte à essayer un portfolio électronique. De plus, des données pouvant figurer dans le portfolio et une grille des méthodes de soins ont été soulignées pour s’assurer de débuter le développement de ce dernier selon les besoins des personnes participantes. Comme il s’agit d’un nouvel outil pédagogique, leur implication dans le projet dès le début du processus pourrait permettre une meilleure collaboration lors de l’implantation du portfolio. Contrairement à la version papier, le portfolio électronique a l’avantage d’être accessible plus facilement et peut être utilisé en ligne par plus d’une personne à la fois. Il devient plus facile pour les personnes étudiantes et les enseignantes de commenter l’évolution de leurs compétences au fur et à mesure plutôt qu’à la fin du stage seulement. L’objectif étant d’avoir tous les éléments en main avant de commencer à travailler sur le développement du portfolio. En ayant déjà les attentes des personnes potentiellement utilisatrices, nous espérons diminuer le nombre de modifications ou d’ajustements à postériori. Nous espérons aussi que les personnes pouvant utiliser le portfolio y adhérent plus facilement s’il répond à leur besoins dès le départ. L’utilisation d’un portfolio sur la durée du programme pour l’évaluation des compétences longitudinales serait grandement aidant pour la progression et la réussite des personnes étudiantes. Pour le moment, il s’agit de créer le portfolio pour une compétence seulement. Toutefois, toutes les compétences évaluées pourraient éventuellement se retrouver dans cet outil et pourrait permettre aux personnes étudiantes d’avoir, en tout temps, le curriculum de leur formation, facilitant leur réflexion personnel et permettant de développer un jugement critique face à leur propre cheminement.