Browsing by Issue Date, starting with "2023-06"
Now showing 1 - 10 of 263
Results Per Page
Sort Options
- A proteção do investimento estrangeiro: uma nova Política Europeia?Publication . Palma, Maria João Costa Luz da; Ferreira, Eduardo Manuel Hintze da PazO Tratado de Lisboa, que entrou em vigor a 1 de dezembro de 2009, dotou a União Europeia de uma nova competência ao ter incluído o investimento direto estrangeiro no âmbito da Política comercial comum da União Europeia. Desde logo, surgiram várias questões em torno desta nova competência, as quais viriam a ser paulatinamente clarificadas pelo direito derivado e pelas decisões do Tribunal de Justiça da União Europeia. A primeira clarificação surgia com o Regulamento No. 1219/2012, de 12 de dezembro de 2012, também conhecido como Regulamento Grandfathering. Por um lado, este Regulamento preservava o espólio dos Acordos Bilaterais de Investimento celebrados pelos Estados-Membros com países terceiros; por outro lado, estabelecia um regime de autorização para a celebração de novos Tratados Bilaterais de Investimento pelos Estados-Membros, concedida pela Comissão Europeia, desde que o parceiro alvo não fosse incluído nos parceiros potenciais da União Europeia, assim se assegurando a convivência pacífica entre os Tratados Bilaterais celebrados pelos Estados-Membros com os novos acordos celebrados pela União Europeia (Acordos Internacionais de Investimento) que contivessem disposições de investimento. O Tribunal de Justiça da União Europeia também desempenhou um papel essencial ao esclarecer os contornos desta nova competência, nomeadamente através do Parecer 2/2015, do Acórdão Achmea e do Parecer 1/17. Mais recentemente, também, através do acórdão Komstroy e do Parecer 1/20. No primeiro destes casos, o Tribunal de Justiça da União Europeia afirmou que os Acordos Internacionais de Investimento eram de competência conjunta da União Europeia e dos Estados-Membros e deveriam seguir a forma de acordo misto (Parecer 2/2015). No segundo, considerou que a cláusula de arbitragem internacional contida num Tratado Bilateral de Investimento intra-UE era contrária aos Tratados, na medida em que o princípio da confiança mútua deveria prevalecer entre os Estados-Membros (Achmea). No Parecer 1/17, o Tribunal de Justiça validou a previsão de um Tribunal de Investimento no acordo entre a União Europeia e o Canadá (CETA), ao ter considerado que o mesmo era compatível com o princípio de autonomia. Finalmente, no acórdão Komstroy e no Parecer 1/20, o Tribunal de Justiça estendeu a doutrina Achmea ao Tratado da Carta de Energia. Porém, destas clarificações resultou que os investidores estrangeiros terão de investir na União Europeia sujeitos a regras substantivas e processuais diferentes, sendo possível identificar pelo menos 4 regimes: 1. Investidores nacionais de países terceiros com quem os Estados-Membros tenham concluídos antigos Tratados Bilaterais de Investimento - esta categoria poderá ter acesso quer aos tribunais nacionais, quer à arbitragem internacional, e não serão confrontados com os novos padrões de investimento preconizados pela União Europeia, tal como o direito de regular; 2. Investidores nacionais de países terceiros com quem os Estados-Membros tenham concluídos novos Tratados Bilaterais de Investimento – esta segunda categoria de investidores poderá ter acesso quer aos tribunais nacionais, quer à arbitragem internacional, mas serão confrontados com os novos padrões de investimento preconizados pela União Europeia, tal como o direito de regular; 3. Investidores nacionais de países terceiros com quem a União Europeia e os Estados-Membros tenham concluído Acordos Internacionais de Investimento – esta terceira categoria poderá apenas ter acesso à arbitragem internacional, uma vez que os acordos internacionais de investimento não têm efeito direto e, por outro lado, serão confrontados com as modernas regras de investimento, tais como o direito de regular; 4. Investidores nacionais de um Estado-Membro a investir noutro Estado-Membro - esta quarta categoria apenas terá acesso aos tribunais nacionais do Estado-membro onde estiver a operar, uma vez que a arbitragem internacional foi considerada contrária aos Tratados. De modo a por um fim a esta desarmonia de regimes, propomos: - Apoiar a iniciativa da União Europeia de criação de um Tribunal Multilateral de Investimento com jurisdição relativamente a todos os Acordos Internacionais de Investimento celebrados pela União Europeia, conjuntamente com os Estados-Membros, mas também relativamente aos Tratados Bilaterais de Investimento celebrados pelos Estados-Membros; - A criação de um Tribunal Europeu de Investimento com jurisdição relativamente aos litígios de investimento intra-UE; - A harmonização dos direitos substantivos dos investidores que operem na União Europeia. Para isso, a codificação dos direitos dos investidores é crucial e deverá ser aplicável de igual forma quer aos investidores nacionais de terceiros países, quer aos nacionais de um outro Estado-Membro. - Numa futura revisão do Tratado sobre o Funcionamento da União Europeia, sugerimos que quer o investimento direto, quer o investimento indireto sejam da competência exclusiva da União Europeia. Contudo, o Conselho deverá decidir em matéria de resolução de litígios de investimentos de acordo com a regra da unanimidade. - Sugerimos, ainda, que o direito dos Estados-Membros de celebração de Tratados Bilaterais de Investimento seja constitucionalizado nos Tratados e que não fique a celebração dos mesmos dependente da mera manifestação de interesse da União Europeia no parceiro, mas que possa ser exercido até à entrada em vigor do acordo celebrado pela União Europeia.
- Os desafios da exploração dos depósitos offshore de petróleo na era de incertezas : contributo para a compreensão e resolução de conflitos de interesses associados à exploração dos depósitos offshore de petróleoPublication . Djabulá, Adilson Dywyná; Gomes, Carla Maria Fermento AmadoSob capa “Os Desafios da Exploração dos Depósitos Offshore de Petróleo na Era de Incertezas: Contributo para a Compreensão e Resolução de Conflitos de Interesses Associados à Exploração dos Depósitos Offshore de Petróleo”, esta tese examinou três tipos de questões de pesquisa. A primeira questão de pesquisa diz respeito ao conflito entre o exercício de poderes do Estado costeiro, em matéria de exploração dos depósitos offshore de petróleo, e os direitos e interesses dos Estados terceiros. Neste particular, a tese procura explorar a extensão dos poderes do Estado costeiro, em matéria de exploração dos depósitos offshore de petróleo, e seus limites face aos direitos e liberdades reconhecidos aos Estados terceiros na mesma zona, com destaque para a liberdade da navegação. A segunda questão de pesquisa diz respeito ao conflito de interesses entre o a exploração dos depósitos offshore de petróleo e a proteção e preservação do ambiente marinho. Num contexto de fragmentação de instrumentos jurídicos que regulam os aspetos ambientais relevantes das atividades de exploração dos depósitos offshore de petróleo e associadas, a tese explora os mecanismos que auxiliam a CNUDM a superar as suas lacunas, procurando construir um regime global comum, mínimo e coerente de responsabilidade primária do Estado pela poluição marinha das atividades de exploração offshore dos depósitos de petróleo, sob a sua jurisdição, que atende às necessidades de conciliação destas atividades com suas obrigações de proteção e preservação do ambiente marinho. A terceira questão de pesquisa prende-se com as disputas fronteiriças motivadas pelo controlo dos depósitos offshore de petróleo. Neste particular, a tese analisa as formas de resolução de disputas de soberania, pelo controlo dos depósitos offshore de petróleo, na jurisprudencial internacional e na prática dos Estados. Na perspetiva da jurisprudência internacional, a tese procura esclarecer a relevância dos depósitos de petróleo na localização da linha da fronteira. Na perspetiva da prática dos Estados, ela procura identificar as diferentes formas de resolução de disputas, com destaque para os acordos de desenvolvimento conjunto.
- Investment policy statement : an ETF-based approachPublication . Duarte, João Paulo Pedroso; Vieira, Pedro RinoThe Investment Policy Statement (IPS) serves as a communication tool between the advisor and client. The advisor's responsibilities include IPS establishment, progress reports, asset allocation, risk management, and compliance with CFA rules. The client has a moderately conservative risk tolerance, aiming to preserve capital for their child with limited risk-taking. No leverage, short selling, or investments in non-regulated assets like cryptocurrencies are permitted. No specific liquidity needs exist, but a 5.00% annual loss probability must be minimized. The investment goal is to grow the initial capital of €500,000 to €750,000 in a 10-year horizon, adjusted for inflation to €960,063.41, requiring a minimum annualized return of 6.74%. The investment philosophy is centered around Exchange Traded Funds (ETFs) and a preference for value over growth investing, utilizing market timing techniques such as Earnings Yield (EY), Shiller Price to Earnings ratio, the FED Model, and Yield Spread. Various security selection rules were also adopted. The portfolio's expected return and volatility were computed using Mean-Variance Theory (MVT) to maximize Sharpe Ratio, resulting in an average annualized return of 7.02% and an average annualized volatility of 3.25%. A risk analysis was performed, employing Value-at-Risk (VaR) and Expected Shortfall to assess potential 10-year horizon risks. A risk matrix was also created.
- Development of a clean label mayonnaise using fruit flourPublication . Vieira, Maria Rocha; Simões, Sara; Carrera-Sánchez, Cecilio; Raymundo, AnabelaOver the past few years, clean label food has been growing, meaning that consumers are searching for shorter and simpler ingredient lists composed of familiar and natural ingredients. The objective of the present work was to develop a vegan clean label mayonnaise, replacing the additives with fruit flour obtained from fruit reduced commercial value. The mayonnaises were prepared by replacing the egg yolk with 1.5% (w/w) lupin and faba proteins, while fruit flour (apple, nectarine, pear, and peach flour) was incorporated to substitute sugar, preservatives, and colorants. Texture profile analysis and rheology—small amplitude oscillatory measurements were performed to evaluate the impact of the fruit flour on mechanical properties. The mayonnaise antioxidant activity was also analyzed in terms of color, pH, microbiology, and stability measurements. The results showed that mayonnaises produced with fruit flour had better structure parameters in terms of viscosity, and texture, but also improved pH and antioxidant activity (p < 0.05) compared to the standard mayonnaise (mayonnaise without fruit flour). The incorporation of this ingredient into mayonnaise increases the antioxidant potential, though it is in lower concentrations compared to the fruit flours that compose them. Nectarine mayonnaise showed the most promising results in terms of texture and antioxidant capacity (11.30 mg equivalent of gallic acid/100 g).
- Equity research Jerónimo Martins SGPS S.A. : introducing an alternative approach to the capital structure puzzlePublication . Latas, Jakov Pavlovikj; Barros, VictorThe present document is the report on an Equity Research of Jerónimo Martins S.G.P.S., SA (JMT). JMT is international Group based in Portugal with over 230 years of know-how in the food business. This report issues a buy recommendation for JMT, with a 2023YE price target of €24.9/share, applying a DCF FCFF Sum-of-the-Parts approach to each segment. The valuation comprises an upside potential of 22% from the January 13th, 2023, closing price of €20.4, with medium-low risk. To support this analysis, other valuation methods were used. Also, the valuation was subject to sensitivity analysis to address its risk. This research work presents an extended chapter aimed at integrating alternative methods to gauge the capital structure that investors require the firm to uphold for future growth opportunities. This is done by referring to foundational financial theory set by Modigliani-Miller for calculating the optimal capital structure, as well as the contrasting theory introduced by Stewart C. Myers. The section provides a new approach in calculating an implied capital structure by investors by using the Myers (1984) findings on present value growth options (PVGO), assuming those growth opportunities are a perpetuity of cash flows required by investors from the firms’ future project ventures.
- Investment policy statement : Lusitania free portfolioPublication . Bissessur, Livesh; Gaspar, Raquel M.; Silva, Paulo MartinsInsurance companies are subject to several regulatory requirements. Investment policy statements not only help insurance companies to comply with all laws and regulations, but also to achieve their return objectives with commensurate risk levels. In this respect, this report presents a hypothetical investment policy statement (IPS) for the Portuguese insurance company - Lusitania. The return objectives of Lusitania are prudent and aligned with its risk appetite. The ASF and EIOPA set risk limits which directly affect Lusitania. The company is subject to major capital requirements due to the nature of the business it operates in. Therefore, its investment philosophy is focused on the long-term with the main aim of capital preservation. Assets are strategically invested based on the Mean Variance Theory such that the maximum return is obtained per unit of risk, and diversification requirements are met. The portfolio of Lusitania is specifically characterised by euro-centric investments determined through data from JP Morgan. Monte Carlo simulations are performed for risk analysis, with the VaR being the main measure of risk. The main themes of this IPS are about defining the optimal asset allocation mix, providing guidance on risk, and articulating how to carry out performance measurement; all whilst protecting the best interests of insurance policyholders
- Equity research - Iberdrola S.A.Publication . Miguel, João Serra; Almeida, JoséThis report consists of an Equity Research on Iberdrola S.A. (IBE), one of the biggest renewable energy companies in the world. With a rich history spanning over 170 years, Iberdrola has evolved into a prominent global energy leader. As one of the largest utility companies in the world, it holds a significant presence in the industry and demonstrates its expertise through a substantial market capitalization. In this report, we present a HOLD recommendation for IBE, along with a price target of €12.02 per share for the end of 2023. The valuation methodology incorporates the use of the DCF (Discounted Cash Flow), DDM (Dividend Discount Model), and APV (Adjusted Present Value). Through this approach, the price target was estimated through different processes, mitigating the limitations of each valuation method. The valuation analysis indicates a potential upside of 3.07% from the closing price of €11.66 as of June 26th, 2022. This assessment considers a medium level of risk associated with the investment. To further evaluate the risk of the investment, we conducted a sensitivity analysis, addressing potential factors that could impact the valuation and the overall investment decision. Based on the analysis, it is recommended a cautious approach towards the investment due to the limited upside potential and the associated risk factors.
- Valuation and sensitivity analysis : fixed coupon express certificate linked to the Euro Stoxx 50 indexPublication . Furtado, Carolina Torres; Gaspar, Raquel M.The main objective of this project is to carry out a valuation and sensitive analysis of the structured product called Fixed Coupon Express Certificate linked to EURO STOXX 50 Index. This product is classified as an autocallable product that has specific characteristics. In particular, this Express Certificate is automatically redeemed from the market at predefined dates if the value of its underlying asset is equal to or higher than the predefined autocall value. To perform this valuation, we consider the Monte Carlo simulation model, in order to determine the future cash-flow of the product. We consider the historical data of the underlying asset from five years prior to the issuance date of the product, which corresponds to the period from 4 February 2015 to 4 February 2020. From this period, we calculate the minimum, maximum and one-day historical volatility prior to the issue date of the product, which are then applied to Monte Carlo. Similarly, the future cash flows allow us to estimate the unconditional and conditional probabilities that the product will survive each year, as well as its expected price. However, for a detailed analysis of the Express Certificate under different scenarios, a sensitive analysis is performed. This aims to examine the behaviour of the product and its performance under different levels of volatility, strikes and barriers in isolation. For this exercise, volatilities are created from 0%, 10%, 20% up to 100. Likewise, strike levels are produced starting at 70% of the value of the underlying at issuance up to 140% and barrier levels from 30% up to 100% of the value of the underlying asset at issuance. Consequently, the various unconditional and conditional probabilities, as well as the expected price of the product under different scenarios are estimated.
- Reinsurance optimization : minimizing the ruin probability for both cedent and reinsurerPublication . Fino, Elisabete Rita Cardoso Ferreira Pires; Moura, Alexandra; Guerra, Manuel CastroThis study considers a reinsurance market with two participants,one taking the role of first line insurer and the other taking the role of reinsurer.The two firms have conflicting interests, in the sense that they both seek to absorb the highest proportion of the insurance premium possible while also taking on the least amount of risk they can. As such, we consider a game where the first line insurerand there insurer aim to minimize their respective ruin probabilities. We define the surplus processes for ach involved party and derive a set of integro-differential equations that describe the behaviour of their ruin probabilities. Numerical illustrations for this model are provided. Then, we present the Pareto equilibrium conditions for this market and suggest one possible approach to implement the numerical solution of the problem.
- Valuation of an insurance industry company : the case of Allianz SEPublication . Wu, Boyi; Gubareva, MariyaThis document presents an Equity Research performed on Allianz SE, following the guidelines of CFA Institute, used for the purpose of Masters Final Work. Allianz SE is a German insurance company with an international exposure, present in more than 70 countries, operating in areas such as life and non-life insurance, which they define as Life-Health and Property-Casualty, asset management and Corporate and others. The valuation of Allianz’s performance is based on the historic period from 2017 to 2022 with the forecasting period for the years 2023 to 2027. The main valuation method applied was the Residual Income Valuation, given the specificities of the industry, and models such as Dividend Discount Model and Relative Valuation with multiples to complement the recommendation of a HOLD of Allianz SE, at a price target of €237.44, upside potential of c.13.7%. The assigned investment risk level is medium risk, considering the impacts of market risk and underwriting risk on the company’s ability to accurately forecast earnings.