Real Attribute Learning Algorithm.

This paper presents REAL, a Real-Valued Attribute Classification Tree Learning Algorithm. Several of the algorithm's unique features are explained by úe users' demands for a decision support tool to be used for evaluating financial operations strategies. Compared to competing algorithms, in our applications, REAL presents maj or advantages : (1) The REAL classification trees usually have smaller error rates. (2) A single conviction (or trust) measure at each leaf is more convenient than the traditional (probability, confidence-level) pair. (3) No need for an external pruning criterion

Hedging in the ethanol and sugar production: integrating financial and production decisions

Abstract Agricultural producers face financial risk at the moment of final products selling. This imposes the use of instruments to reduce risks in order to assure prices and production process economic feasibility. This paper examines the problem of creating hedging strategies with production constraints and proposes a deterministic multi-period optimization model to solve it. Uncertainty was introduced in the model through scenario trees and risk was analyzed according to the traditional mean variance approach. The model was analyzed for the sugar and ethanol market in order to aid in the financial management of a sugar cane refinery

Modelling the technical potential of bioelectricity production under land use constraints: A multi-region Brazil case study

In Brazil, bioelectricity generation from sugarcane bagasse and black liquor is regarded as a sustainable electricity supply option. However, questions regarding land use, investment decisions, and demand for paper, ethanol and sugar make its future role uncertain. The aim of this paper is to present a novel modelling framework based on a soft-link between a multi-sectoral Brazilian integrated assessment model (MUSE-Brazil) and an electricity portfolio optimisation model (EPOM). The proposed framework is capable of dynamically simulating sectoral electricity demand, regional bioenergy production under land use constraints and optimal power sector technological shares in each of the electricity subsystems. Considering Brazil under a 2 °C carbon budget, two scenarios based on economic attractiveness of producing second-generation ethanol have been investigated. Under the scenario where second-generation ethanol is not produced, outputs indicate that by 2050, Brazil would increase sugarcane and wood production by 68% and 49% respectively without causing direct or indirect deforestation. Agriculture intensification is evidenced as an alternative for reducing land use disruptions. Bioelectricity share is projected to remain around 9–10%. However, if second generation ethanol becomes cost-effective, thus limiting bagasse availability, the share of bioelectricity production would decrease to approximately 7.7%, with natural gas-fired plants playing a stronger role in the future power system expansion, causing an increase on electricity sector emissions

Hedging in the ethanol and sugar production: integrating financial and production decisions

Abstract Agricultural producers face financial risk at the moment of final products selling. This imposes the use of instruments to reduce risks in order to assure prices and production process economic feasibility. This paper examines the problem of creating hedging strategies with production constraints and proposes a deterministic multi-period optimization model to solve it. Uncertainty was introduced in the model through scenario trees and risk was analyzed according to the traditional mean variance approach. The model was analyzed for the sugar and ethanol market in order to aid in the financial management of a sugar cane refinery

Analysis of electricity supply and demand intra-annual dynamics in Brazil: A multi-period and multi-regional generation expansion planning model

The use of renewable energy sources in electricity systems has become an important strategy to reduce greenhouse gas emissions in the power sector and to avoid depletion of natural resources. However, uncertainties on renewable power generation, diurnal and seasonal variability, technology costs and regional resources availability are factors that have challenged their large-scale adoption. In this context, studies have been focused on how to best integrate different generation technologies with regards to costs and security of supply. Taking the Brazilian electricity system expansion as a case study, this paper proposes a new hierarchical modelling framework that integrates two electricity planning optimization models: (i) a portfolio theory-based model that deals with the trade-off between security of supply and expected supply cost and (ii) a deterministic least cost model that finds the amount of electricity to be produced by each generation technology. The proposed approach can provide information regarding expected total supply cost, electricity deficit risks, capacity expansion and expected greenhouse gas emissions. Additionally, current government guidelines for renewables expansion are discussed with respect to the Brazilian targets for emissions reduction. Results point to a slight increase in renewables share from 82.4% in 2020 to 85.3% in 2035; however maximum established building rates for renewable generation projects are shown to be very tight and may hamper the achievement of emissions reduction. Overall, it is shown that renewable technologies are attractive for both the environmental and economic spheres, but fossil fuels will continue to play an important role for meeting demand

Produção sucroalcooleira: estratégias financeiras e operacionais

This article proposes the construction of an optimization model to define the product portfolio of a sugarcane mill, taking into account operational and financial aspects. It is considered that the revenue earned by a producer comes from the sale of sugar and alcohol in the physical market and the results obtained through hedging in the derivatives market of sugar. Employing CVaR (Conditional Value-at-Risk), as the risk measure, the model allows the construction of an efficient frontier and, according to the producer's risk tolerance, defines the optimal strategy of production (production mix) and activity in the derivatives market (hedge ratio). Through the model the article also seeks to analyze the advantage of using the options market in the construction of financial hedging strategies in agricultural commodities markets.Este artigo propõe a construção de um modelo de otimização para a definição do  portfólio de produtos de uma usina sucroalcooleira, levando em conta aspectos operacionais e financeiros. Considera-se que a receita obtida por um produtor provém da venda de açúcar e álcool no mercado físico e de resultados obtidos através de operações de hedge no mercado de derivativos de açúcar.  Empregando como medida de risco o CVaR (Conditional Value-at-Risk), o modelo possibilita a construção de uma fronteira eficiente e, de acordo com a tolerância ao risco do produtor, define a estratégia ideal de produção (mix de produção) e de atuação no mercado de derivativos (razão de hedging).  Através do modelo o artigo busca também analisar a vantagem do uso do mercado de opções na construção de estratégias financeiras de hedging em mercados de commodities agrícolas

A model for pricing options embedded in pension products in Brazil

Este artigo apresenta um modelo para determinação do passivo e do risco financeiro associado às opções implícitas atreladas a produtos de previdência complementar no Brasil (PGBL/VGBL). Propõe-se uma modelagem específica para o problema através da caracterização da opção financeira embutida nos produtos de previdência com possibilidade de conversão do saldo final do participante em benefício vitalício sob termos predeterminados. Modelam-se também as características financeiras desse passivo, tais como duração, convexidade e fluxo de caixa equivalentes, que podem ser utilizadas para otimização da carteira de ativos associada a essa obrigação. Por fim, apresentam-se os resultados e a análise de sensibilidade da aplicação da modelagem proposta para o caso específico de um fundo de previdência complementar aberta.This paper presents a model to assess liabilities and financial risks created by options embedded in retirement related investment products in Brazil (PGBL/VGBL). A specific model that characterizes the financial option embedded in insurance products is presented. These products guarantee the conversion of final participant balance in retirement income at predefined terms. Financial characteristics of this liability such as duration, convexity and equivalent cash flows are also modeled. These characteristics can be useful as inputs to optimization models for the assets portfolio backing such liabilities. Finally, results and sensitivity analysis of an application of the model to a Brazilian open-end retirement related fund are presented

Uma contribuição ao problema de composição de carteiras de mínimo valor em risco A contribution to the minimum value-at-risk portfolio problem

O trabalho propõe um modelo baseado em aproximação estocástica para composição de carteiras de ativos financeiros de mínimo risco. A medida de risco estudada, o Valor em Risco, é bastante utilizada na prática de gestão financeira como um sinalizador para tomada de decisão, porém poucas vezes é empregada para definir a composição ótima de carteiras em decorrência das dificuldades de implementação computacional. O modelo proposto permite que o problema de composição de carteira de mínimo Valor em Risco seja resolvido de uma maneira simples. O artigo analisa o desempenho do modelo em um problema de gestão de carteiras de ações no mercado brasileiro.A model based on stochastic approximation is proposed to minimize the risk of portfolios of financial assets. Value-at-Risk, a widely used risk measure in financial management practices, has rarely been used in optimal portfolio context selection due to difficulties in computational implementation. The proposed model allows the minimum Value-at-Risk portfolio problem to be solved through an approximation of the objective function. This paper analyzes the performance of the model in a portfolio of Brazilian market assets