Edson de Oliveira Pamplona

OTIMIZAÇÃO DE PORTFÓLIOS: ANÁLISE DE EFICIÊNCIA

This article aims to analyze the behavior of a portfolio of assets selected by Data Envelopment Analysis (DEA), optimized by the Sharpe approach, and compare it to portfolios of assets obtained only by DEA or the Sharpe approach. To do that, we used the DEA model to assess the efficiency of shares of the Sao Paulo Stock Exchange (Bovespa), employing return, variance and other indicators such as input and output variables. Also, we used the Sharpe approach to optimize the portfolio composition. In the comparison of portfolios, we noted that the resulting combination of both models performed better than the portfolios optimized by only one of the models.

Identificação de investimentos em eficiência energética e sua avaliação de risco

In order to achieve energy savings through improvements in energy efficiency, an energy diagnosis that shows the actual energy performance and determines the investments required is necessary. Nevertheless, the viability of these investments should be evaluated. The aim of this study is to adopt a method that involves two analyses: engineering analysis and risk analysis. Engineering analysis is conducted through the use of diagnostic tools to identify energy efficiency investments. Risk analysis enables the evaluation of the feasibility of these investments considering the uncertainty associated with the variables that determine energy savings and the effect on them, adapting the EBaR® approach through modeling and simulation. The method proposed was applied to a company in the Brazilian industrial sector and indicated that the company can reduce the consumption of non-production related energy by 60%, and that the investment proposed to improve energy efficiency is feasible since it has a good risk-return-ratio.

Stochastic portfolio optimization using efficiency evaluation

Purpose – The purpose of this paper is to analyze portfolios chosen using an efficiency evaluation that considers risk and uncertainty and optimizes the allocation of invested capital using the Sharpe approach. Design/methodology/approach – The portfolios comprised shares on the Sao Paulo Stock Exchange. A chance-constrained data envelopment analysis stochastic optimization model was used, and return and variance were employed as input and output variables. Findings – The model was shown to be viable. It reduced the search space and considered data randomness. Originality/value – Three portfolios were proposed. The variation of the model’s risk criterion fulfilled the requirements of investors with different attitudes to risk. The model proposed can be used as a support tool for stock investment decisions.

Analysis of mergers and acquisitions in Brazilian companies

This article sheds light on how synergies arise through mergers and acquisitions (M&A) and how best to evaluate them in Brazil. Through a review of the literature, it was analysed how generated synergies are assessed across different methodologies. This article analysed the synergy gains in Brazilian mergers and acquisitions between 2000 and 2007. The study employed three of the four techniques identified: accounting indicators, business valuation by discounted cash flow (DCF), and a variation on DCF, where synergy can be broken down into its constituent elements. Through its findings, the study identified improvements in the economic situation of enterprises and showed that these processes generated managerial and financial synergies.

Modificações em Eficiência de Máquinas e seu Impacto na Produtividade: Avaliação Através da Simulação a Eventos Discretos

O processo de transformacao da bobina de aluminio em lata e bastante extenso e complexo. Neste contexto, surge a simulacao, ferramenta com potencial para captar a complexidade dinâmica que muitas empresas enfrentam atualmente, possibilitando o estudo de cenarios sem que seja necessario construi-los na realidade. O objetivo desse trabalho e avaliar o desempenho de uma linha de producao de uma fabrica de latas de aluminio, localizada no sul do estado de Minas Gerais, visando proporcionar um conhecimento mais profundo do sistema, alem de possibilitar maior consistencia na tomada de decisao no que diz respeito a melhoria de produtividade. Para tal, a metodologia utilizada foi a modelagem (IDEF-SIM) e simulacao a eventos discretos por meio do software Promodel®. Foram gerados dois cenarios, um otimista com 20% de reducao da ineficiencia das maquinas Bodymaker, Printer, InsideSpray e Necker e outro pessimista com aumento de 20% da ineficiencia das mesmas maquinas. Os resultados obtidos permitem concluir que uma piora da eficiencia das maquinas nao resultou em uma diferenca de desempenho estatisticamente significativa da linha de producao, porem, quando se melhora a eficiencia das maquinas os resultados foram beneficos e estatisticamente significativos, aumentando a produtividade do sistema, que e almejada pelos gestores.

Model to Estimate Monthly Time Horizons for Application of DEA in Selection of Stock Portfolio and for Maintenance of the Selected Portfolio

In the selecting of stock portfolios, one type of analysis that has shown good results is Data Envelopment Analysis (DEA). It, however, has been shown to have gaps regarding its estimates of monthly time horizons of data collection for the selection of stock portfolios and of monthly time horizons for the maintenance of a selected portfolio. To better estimate these horizons, this study proposes a model of mathematical programming binary of minimization of square errors. This model is the paper’s main contribution. The model’s results are validated by simulating the estimated annual return indexes of a portfolio that uses both horizons estimated and of other portfolios that do not use these horizons. The simulation shows that portfolios with both horizons estimated have higher indexes, on average 6.99% per year. The hypothesis tests confirm the statistically significant superiority of the results of the proposed mathematical model’s indexes. The model’s indexes are also compared with portfolios that use just one of the horizons estimated; here the indexes of the dual-horizon portfolios outperform the single-horizon portfolios, though with a decrease in percentage of statistically significant superiority.

Portfolio optimization: efficiency analysis

This article aims to analyze the behavior of a portfolio of assets selected by Data Envelopment Analysis (DEA), optimized by the Sharpe approach, and compare it to portfolios of assets obtained only by DEA or the Sharpe approach. To do that, we used the DEA model to assess the efficiency of shares of the Sao Paulo Stock Exchange (Bovespa), employing return, variance and other indicators such as input and output variables. Also, we used the Sharpe approach to optimize the portfolio composition. In the comparison of portfolios, we noted that the resulting combination of both models performed better than the portfolios optimized by only one of the models.

Optimización de portafolios: análisis de eficiencia

This article aims to analyze the behavior of a portfolio of assets selected by Data Envelopment Analysis (DEA), optimized by the Sharpe approach, and compare it to portfolios of assets obtained only by DEA or the Sharpe approach. To do that, we used the DEA model to assess the efficiency of shares of the Sao Paulo Stock Exchange (Bovespa), employing return, variance and other indicators such as input and output variables. Also, we used the Sharpe approach to optimize the portfolio composition. In the comparison of portfolios, we noted that the resulting combination of both models performed better than the portfolios optimized by only one of the models.

Evaluating Energy Sector Investments: Calculating Volatility

A major task in assessing risks of investment projects is defining the approach to calculating the project’s volatility. Looking at assorted estimation techniques, this paper calculates their volatilities. The techniques originate from authors in the area and involve project-specific variables of uncertainty. These techniques are applied to a case of electricity distribution through real options. Results are then compared. The difference between the calculated volatilities was low, leaving, in the case of the project evaluated here, the decision unchanged. The paper’s contribution consists of providing a detailed presentation of calculating volatility by the methods cited and by comparing the results obtained by its application.

As inadequações do sistema tradicional de custos em um novo ambiente de fabricação

This work presents the main problems related to the use of traditional cost systems in a production environment that distinguish itself by the adoption of new technologies such as TOC. JIT. CIM. as well as CAD. CAE. MRP. MRPII. SPC. CNC. Raboncs and FMS, in especific terms. It is also demonstrated the need of adequaling cost systems to its functions. In this way. this updated Cost System supplies an effective contribution to the search for the companys management excellence.