Paulo Rotela Junior

Entropy-Based Weighting for Multiobjective Optimization: An Application on Vertical Turning

In practical situations, solving a given problem usually calls for the systematic and simultaneous analysis of more than one objective function. Hence, a worthwhile research question may be posed thus: In multiobjective optimization, what can facilitate for the decision maker choosing the best weighting? Thus, this study attempts to propose a method that can identify the optimal weights involved in a multiobjective formulation. The proposed method uses functions of Entropy and Global Percentage Error as selection criteria of optimal weights. To demonstrate its applicability, this method was employed to optimize the machining process for vertical turning, maximizing the productivity and the life of cutting tool, and minimizing the cost, using as the decision variables feed rate and rotation of the cutting tool. The proposed optimization goals were achieved with feed rate = 0.37 mm/rev and rotation = 250 rpm. Thus, the main contributions of this study are the proposal of a structured method, differentiated in relation to the techniques found in the literature, of identifying optimal weights for multiobjective problems and the possibility of viewing the optimal result on the Pareto frontier of the problem. This viewing possibility is very relevant information for the more efficient management of processes.

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.

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.

Entropic Data Envelopment Analysis: A Diversification Approach for Portfolio Optimization

Recently, different methods have been proposed for portfolio optimization and decision making on investment issues. This article aims to present a new method for portfolio formation based on Data Envelopment Analysis (DEA) and Entropy function. This new portfolio optimization method applies DEA in association with a model resulting from the insertion of the Entropy function directly into the optimization procedure. First, the DEA model was applied to perform a pre-selection of the assets. Then, assets given as efficient were submitted to the proposed model, resulting from the insertion of the Entropy function into the simplified Sharpe’s portfolio optimization model. As a result, an improved asset participation was provided in the portfolio. In the DEA model, several variables were evaluated and a low value of beta was achieved, guaranteeing greater robustness to the portfolio. Entropy function has provided not only greater diversity but also more feasible asset allocation. Additionally, the proposed method has obtained a better portfolio performance, measured by the Sharpe Ratio, in relation to the comparative methods.

Sistema de indicadores de desempenho para gestão de empresas em incubadoras de base tecnológica

Este trabalho visa propor um modelo de sistema de indicadores de desempenho para incubadoras de base tecnologica, fundamentado nos conceitos de controle de resultados do metodo Balanced Scorecard e alinhado as diretrizes de avaliacao de desempenho proposto pelo CERNE, para ser utilizado na gestao das empresas residentes, mesmo aquelas no comeco do processo de incubacao. O metodo de pesquisa utilizado foi a pesquisa-acao, na medida em que o pesquisador buscou resolver um problema dentro do objeto de estudo em conjunto com a equipe de profissionais da incubadora. Conclui-se que o modelo de avaliacao de desempenho proposto facilitou a abordagem critica da incubadora sobre os resultados e atendeu as exigencias peculiares das empresas residentes, podendo ser utilizado por outras incubadoras como modelo para o desenvolvimento de seus proprios sistemas.

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.