Commercial agentes portfolio optimization in electricity markets

As it is well known, competitive electricity markets require new computing tools for power companies that operate in retail markets in order to enhance the management of its energy resources. During the last years there has been an increase of the renewable penetration into the micro-generation which begins to co-exist with the other existing power generation, giving rise to a new type of consumers. This paper develops a methodology to be applied to the management of the all the aggregators. The aggregator establishes bilateral contracts with its clients where the energy purchased and selling conditions are negotiated not only in terms of prices but also for other conditions that allow more flexibility in the way generation and consumption is addressed. The aggregator agent needs a tool to support the decision making in order to compose and select its customers' portfolio in an optimal way, for a given level of profitability and risk.

Electricity Markets Portfolio Optimization using a Particle Swarm Approach

Energy systems worldwide are complex and challenging environments. Multi-agent based simulation platforms are increasing at a high rate, as they show to be a good option to study many issues related to these systems, as well as the involved players at act in this domain. In this scope the authors’ research group has developed a multi-agent system: MASCEM (Multi-Agent System for Competitive Electricity Markets), which simulates the electricity markets. MASCEM is integrated with ALBidS (Adaptive Learning Strategic Bidding System) that works as a decision support system for market players. The ALBidS system allows MASCEM market negotiating players to take the best possible advantages from the market context. However, it is still necessary to adequately optimize the player’s portfolio investment. For this purpose, this paper proposes a market portfolio optimization method, based on particle swarm optimization, which provides the best investment profile for a market player, considering the different markets the player is acting on in each moment, and depending on different contexts of negotiation, such as the peak and offpeak periods of the day, and the type of day (business day, weekend, holiday, etc.). The proposed approach is tested and validated using real electricity markets data from the Iberian operator – OMIE.

Forest management: different criteria – equal sustainability

From the forest management perspective, many definitions have been proposed for the concept of forest sustainability. Despite this apparent diversity, most of them converge on the same aspects. In this work we developed a comparative approach of two distinct forest management methodologies used in Europe, more precisely in Slovenia and in Portugal. Although in each case study differences in vegetation, climate and pedological characteristics are evident, we were able to show some peculiar aspects of both the Slovenian and the Portuguese examples. This study also dealt with the evolution of the term sustainability in the last decades and how it played an important role for forest management options.

Brazilian equity risk premium analysis: A macroeconomic approach

Double Degree Masters in Economics Program from Insper and NOVA School of Business and Economics

Performance analysis of an SRI screen based on employment quality in high and low capital industries: International evidence

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics and Maastricht University School of Business and Economics

Managing marginal capital requirements in solvency II: Analysis of a real insurance portfolio

This thesis provides a complete analysis of the Standard Capital Requirements given by Solvency II for a real insurance portfolio. We analyze the investment portfolio of BPI Vida e Pensões, an insurance company affiliated with a Portuguese bank BPI, both at security, sub-portfolio and asset class levels. By using the Standard Formula from EIOPA, Total SCR amounts to 239M€. This value is mostly explained by Market and Default Risk whereas the former is driven by Spread and Concentration Risks. Following the methodology of Leblanc (2011), we examine the Marginal Contribution of an asset to the SCR which allows for the evaluation of the risks of each security given its characteristics and interactions in the portfolio. The top contributors to the SCR are Corporate Bonds and Term Deposits. By exploring further the composition of the portfolio, our results show that slight changes in allocation of Term and Cash Deposits have severe impacts on the total Concentration and Default Risks, respectively. Also, diversification effects are very relevant by representing savings of 122M€. Finally, Solvency II represents an opportunity for the portfolio optimization. By constructing efficient frontiers, we find that as the target expected return increases, a shift from Term Deposits/ Commercial Papers to Eurozone/Peripheral and finally Equities occurs.

How to bring equity investors to the social sector? A quasi-equity approach through the case study of SPEAK

As nonprofits do not have access to the same capital markets as for-profit enterprises, organizations usually scramble for funding to keep up with their mission. This scenario can be changed through the use of the right financial engineering. This Work Project aims at studying an innovative financing mechanism based on the concept of quasi-equity for organizations devoted to social ends to cope with their capital needs. A quasi-equity investment model is built for the Portuguese social business SPEAK, and an in-depth assessment of its current financial, organizational and impact situations is conducted. This is a pioneer case study in Portugal.

An equity wealth preservation strategy: Following the macro trend

Financial crisis have happened in the past and will continue to do so in the future. In the most recent 2008 crisis, global equities (as measured by the MSCI ACWI index) lost a staggering 54.2% in USD, on the year. During those periods wealth preservation becomes at the top of most investor’s concerns. The purpose of this paper is to develop a strategy that protects the investment during bear markets and significant market corrections, generates capital appreciation, and that can support Millennium BCP’s Wealth Management Unit on their asset allocation procedures. This strategy extends the Dual Momentum approach introduced by Gary Antonacci (2014) in two ways. First, the investable set of securities in the equities space increases from two to four. Besides the US it will comprise the Japanese, European (excl. UK) and EM equity indices. Secondly, it adds a volatility filter as well as three indicators related to the business cycle and the state of the economy, which are relevant to decide on the strategy’s exposure to equities. Overall the results attest the resiliency of the strategy before, during and after historical financial crashes, as it drastically reduces the downside exposure and consistently outperforms the benchmark index by providing higher mean returns with lower variance.

Carry and trend-following strategies

Recent research has shown that carry and trend strategies when combined lead to significant risk-adjusted returns that can be very attractive to investors, at a low cost with small and positive skewness. This study proposes to combine both carry and trend-following, considering a data set of ten years (09/2005-09/2015), within a portfolio composed by three major asset classes: currencies, commodities and equity indices. Following a futures-based methodology, the obtained results show that, indeed, the strategy results inevitably in higher returns and greater sharpe ratios for every asset class in study. This outcome results from the fact that trend proved to provide a significant hedge to the downside risk that carry is exposed to.

Análise do acesso aos cuidados de reabilitação em Angola

RESUMO - Angola é um país em desenvolvimento e dado o baixo número de profissionais na reabilitação e a centralização dos cuidados desta área na capital do país, Luanda, é pertinente caraterizar o acesso dos utentes e perceber em que medida é que a oferta destes cuidados satisfaz as necessidades atuais da população. Sendo assim, este estudo teve como objetivos, avaliar o acesso dos utentes do Centro de Referência Nacional público para Reabilitação em Angola, CMFR, e identificação de áreas prioritárias de ação para promoção de igualdade no acesso. A análise metodológica consistiu na recolha e análise de dados dos utentes que acederam ao CMFR de Setembro de 2014 a Janeiro de 2015 e pesquisa documental abrangente, não-sistemática, sobre equidade e acesso a cuidados de saúde em Reabilitação a nivel internacional e em Angola. Para o tratamento e recolha de dados foram consideradas variáveis sociodemográficas e caraterizadoras do acesso onde se fez a caraterização da população em estudo, análise das variáveis resultantes do acesso ao CMFR através de uma análise de regressão.

Effect on renal function of tenofovir co-administered with either efavirenz or boosted lopinavir or boosted atazanavir: the Swiss HIV Cohort Study

Reduced re'nal function has been reported with tenofovir disoproxil fumarate (TDF). It is not clear whether TDF co-administered with a boosted protease inhibitor (PI) leads to a greater decline in renal function than TDF co-administered with a non-nucleoside reverse transcriptase inhibitor (NNRTI).Methods: We selected ail antiretroviral therapy-naive patients in the Swiss HIV Cohort Study (SHCS) with calibrated or corrected serum creatinine measurements starting antiretroviral therapy with TDF and either efavirenz (EFV) or the ritonavir-boosted PIs, lopinavir (LPV/r) or atazanavir (ATV/r). As a measure of renal function, we used the Chronic Kidney Disease Epidemiology Collaboration (CKD-EPI) equation to estimate the glomerular filtration rate (eGFR). We calculated the difference in eGFR over time between two therapies using a marginal model for repeated measures. In weighted analyses, observations were weighted by the product of their point of treatment and censoring weights to adjust for differences both in the sort of patients starting each therapy and in the sort of patients remaining on each therapy over time.Results: By March 2011, 940 patients with at least one creatinine measurement on a first therapy with either TDF and EFV (n=484), TDF and LPVlr (n=269) or TDF and ATV/r (n=187) had been followed for a median of 1. 7, 1.2 and 1.3 years, respectively. Table 1 shows the difference in average estimated GFR (eGFR) over time since starting cART for two marginal models. The first model was not adjusted for potential confounders; the second mode! used weights to adjust for confounders. The results suggest a greater decline in renal function during the first 6 months if TDF is used with a PI rather than with an NNRTI, but no further difference between these therapies after the first 6 months. TDF and ATV/r may lead to a greater decline in the first 6 months than TDF and LPVlr.Conclusions: TDF co-administered with a boosted PI leads to a greater de cline in renal function over the first 6 months of therapy than TDF co-administered with an NNRTI; this decline may be worse with ATV/r than with LPV/r.

Photodynamic therapy with mTHPC and polyethylene glycol-derived mTHPC: a comparative study on human tumour xenografts.

The photosensitizing properties of m-tetrahydroxyphenylchlorin (mTHPC) and polyethylene glycol-derivatized mTHPC (pegylated mTHPC) were compared in nude mice bearing human malignant mesothelioma, squamous cell carcinoma and adenocarcinoma xenografts. Laser light (20 J/cm2) at 652 nm was delivered to the tumour (surface irradiance) and to an equal-sized area of the hind leg of the animals after i.p. administration of 0.1 mg/kg body weight mTHPC and an equimolar dose of pegylated mTHPC, respectively. The extent of tumour necrosis and normal tissue injury was assessed by histology. Both mTHPC and pegylated mTHPC catalyse photosensitized necrosis in mesothelioma xenografts at drug-light intervals of 1-4 days. The onset of action of pegylated mTHPC seemed slower but significantly exceeds that of mTHPC by days 3 and 4 with the greatest difference being noted at day 4. Pegylated mTHPC also induced significantly larger photonecrosis than mTHPC in squamous cell xenografts but not in adenocarcinoma at day 4, where mTHPC showed greatest activity. The degree of necrosis induced by pegylated mTHPC was the same for all three xenografts. mTHPC led to necrosis of skin and underlying muscle at a drug-light interval of 1 day but minor histological changes only at drug-light intervals from 2-4 days. In contrast, pegylated mTHPC did not result in histologically detectable changes in normal tissues under the same treatment conditions at any drug-light interval assessed. In this study, pegylated mTHPC had advantages as a photosensitizer compared to mTHPC. Tissue concentrations of mTHPC and pegylated mTHPC were measured by high-performance liquid chromatography in non-irradiated animals 4 days after administration. There was no significant difference in tumour uptake between the two sensitizers in mesothelioma, adenocarcinoma and squamous cell carcinoma xenografts. Tissue concentration measurements were of limited use for predicting photosensitization in this model.

Prevalence and factors associated with difficulty and intention to quit smoking in Switzerland.

ABSTRACT: BACKGROUND: Recent data indicate a slight decrease in the prevalence of smoking in Switzerland, but little is known regarding the intention and difficulty to quit smoking among current smokers. Hence, we aimed to quantify the difficulty and intention to quit smoking among current smokers in Switzerland. METHODS: Cross-sectional study including 607 female and 658 male smokers. Difficulty, intention and motivation to quit smoking were assessed by questionnaire. RESULTS: 90% of women and 85% of men reported being "very difficult" or "difficult" to quit smoking. Almost three quarters of smokers (73% of women and 71% of men) intended to quit; however, less than 20% of them were in the preparation stage and 40% were in the precontemplation stage. On multivariate analysis, difficulty to quit was lower among men (Odds ratio and 95% [confidence interval]: 0.51 [0.35-0.74]) and increased with nicotine dependence and number of previous quitting attempts (OR=3.14 [1.75-5.63] for 6+ attempts compared to none). Intention to quit decreased with increasing age (OR=0.48 [0.30-0.75] for [greater than or equal to]65 years compared to <45 years) and increased with nicotine dependence, the number of previous quitting attempts (OR=4.35 [2.76-6.83] for 6+ attempts compared to none) and among non-cigarette smokers (OR=0.51 [0.28-0.92]). Motivation to quit was inversely associated with nicotine dependence and positively associated with the number of previous quitting attempts and personal history of lung disease. CONCLUSION: Over two thirds of Swiss smokers want to quit. However, only a small fraction wishes to do so in the short term. Nicotine dependence, previous attempts to quit or previous history of lung disease are independently associated with difficulty and intention to quit.

Predicting adverse events in children with fever and chemotherapy-induced neutropenia: the prospective multicenter SPOG 2003 FN study.

PURPOSE To develop a score predicting the risk of adverse events (AEs) in pediatric patients with cancer who experience fever and neutropenia (FN) and to evaluate its performance. PATIENTS AND METHODS Pediatric patients with cancer presenting with FN induced by nonmyeloablative chemotherapy were observed in a prospective multicenter study. A score predicting the risk of future AEs (ie, serious medical complication, microbiologically defined infection, radiologically confirmed pneumonia) was developed from a multivariate mixed logistic regression model. Its cross-validated predictive performance was compared with that of published risk prediction rules. Results An AE was reported in 122 (29%) of 423 FN episodes. In 57 episodes (13%), the first AE was known only after reassessment after 8 to 24 hours of inpatient management. Predicting AE at reassessment was better than prediction at presentation with FN. A differential leukocyte count did not increase the predictive performance. The score predicting future AE in 358 episodes without known AE at reassessment used the following four variables: preceding chemotherapy more intensive than acute lymphoblastic leukemia maintenance (weight = 4), hemoglobin > or = 90 g/L (weight = 5), leukocyte count less than 0.3 G/L (weight = 3), and platelet count less than 50 G/L (weight = 3). A score (sum of weights) > or = 9 predicted future AEs. The cross-validated performance of this score exceeded the performance of published risk prediction rules. At an overall sensitivity of 92%, 35% of the episodes were classified as low risk, with a specificity of 45% and a negative predictive value of 93%. CONCLUSION This score, based on four routinely accessible characteristics, accurately identifies pediatric patients with cancer with FN at risk for AEs after reassessment.