Monte Carlo Estimation of Project Volatility for Real Options Analysis

Volatility is a fundamental parameter for option valuation. In particular, real options models require project volatility, which is very hard to estimate accurately because there is usually no historical data for the underlying asset. Several authors have used a method based on Monte Carlo simulation for estimating project volatility. In this paper we analyse the existing procedures for applying the method, concluding that they will lead to an upward bias in the volatility estimate. We propose different procedures that will provide better results, and we also discuss the business consequences of using upwardly biased volatility estimates in real options analysis.

New Methodological Approaches for Change in Traditional Sectors: The Case of the Portuguese Fisheries Socio-Economic System

This paper summarises the methodological approach and main results of the MARHE project (Employment and Human Resources in the Fisheries Socio-Economic System). This project had as its main aim the search for alternative futures for the fisheries sector in Portugal, with particular attention being paid to the human resources situation and the working and living conditions of the fisheries-dependent populations in the coastal areas. This is a particularly interesting case, since fisheries were once an important activity and they are now in deep recession, even though it is generally recognised that the future utilisation of maritime resources offer an immense potential. As part of the research, a Delphi exercise was implemented involving in two successive stages some of the leading actors and experts dealing with the sector in Portugal. Other initiatives were held in the context of the MARHE project providing direct and indirect inputs to the scenarios and recommendations that were put forward in the sequence of the Delphi exercise. Overall the activities described in the paper contributed to the mobilisation of major actors and to discussions that may have practical implication for the future of the sector, if certain conditions are now met in the follow up to the project.Fisheries; Portugal; human resources; scenarios; labour market

University patenting, licensing and technology transfer: how organizational context and available resources determine performance.

The paper assesses the performance of the technology licensing offices (TLO) and technology transfer offices (TTO) which have been active in Portuguese higher education institutions. Data stemming from a survey of these entities was analyzed in successive steps through factor analysis, cluster analysis and estimation of a model using the Partial-Least Squares methodology. It is shown that the institutional nature of each of the surveyed organizations implies different behaviours and outcomes. Further it has also became clear that the type of resources and activities in the surveyed organizations determine both their “primary outcome” (patent applications and technology transfer processes) and their “final outcome” (technology licensing contracts and technology-based spin-offs). The results of this paper might be particularly relevant for other similar economies as Portugal where high-tech and knowledge-intensive industries have not been dominant.technology transfer; university-industry relationships; university patenting; university spin-offs

Asymptotic of grazing collisions and particle approximation for the Kac equation without cutoff

The subject of this article is the Kac equation without cutoff. We first show that in the asymptotic of grazing collisions, the Kac equation can be approximated by a Fokker-Planck equation. The convergence is uniform in time and we give an explicit rate of convergence. Next, we replace the small collisions by a small diffusion term in order to approximate the solution of the Kac equation and study the resulting error. We finally build a system of stochastic particles undergoing collisions and diffusion, that we can easily simulate, which approximates the solution of the Kac equation without cutoff. We give some estimates on the rate of convergence.Comment: 37 pages, 6 figure

Long Term Evolution of the Size Distribution of Portuguese Cities

In this paper we study the evolution of the Portuguese urban system from 1864 to 2001. We apply the rank-size model and use rank-size estimates to describe the evolution of city-size hierarchy. Non paretian behaviour of the distribution is examined by adding a quadratic term to the basic equation of the model. Our results enhance two different processes in the evolution of urban system: until the middle of the twentieth century urban growth was accompanied by population concentration in the largest cities and proliferation of small cities; afterwards growth benefits middle size cities, reinforced in the last decades by heavy population losses in the two largest cities. From the association between the characteristics and evolving pattern of city size distribution and the spatial pattern of urban growth, it appears that the non paretian behaviour of city size distribution in the last decades can be linked to the particular growth process of cities located in the proximity of the central cities of the two metropolitan areas of Portugal’s mainland. In order to obtain a better understanding of the dynamics of the Portuguese urban system we examine the movements in the ranking of cities. We also analyse the existence of spatial correlation in the process of urban hierarchy restructuring.