Optimal composition of hybrid/blended real estate portfolios

Purpose: The purpose of this paper is to establish an optimum mix of liquid, publicly traded assets that may be added to a real estate portfolio, such as those held by open-ended funds, to provide the liquidity required by institutional investors such as UK defined contribution pension funds. This is with the objective of securing liquidity while not unduly compromising the risk-return characteristics of the underlying asset class. This paper considers the best mix of liquid assets at different thresholds for a liquid asset allocation, with the performance then evaluated against that of a direct real estate benchmark index. Design/Methodology/Approach: The authors employ a mean-tracking error optimisation approach in determining the optimal combination of liquid assets that can be added to a real estate fund portfolio. The returns of the optimised portfolios are compared to the returns for portfolios that employ the use of either cash or listed real estate alone as a liquidity buffer. Multivariate Generalised Autoregressive models are used along with rolling correlations and tracking errors to gauge the effectiveness of the various portfolios in tracking the performance of the benchmark index. Findings: The results indicate that applying formal optimisation techniques leads to a considerable improvement in the ability of the returns from blended real estate portfolios to track the underlying real estate market. This is the case at a number of different thresholds for the liquid asset allocation and in cases where a minimum return requirement is imposed. Practical Implications: The results suggest that real estate fund managers can realise the liquidity benefits of incorporating publicly traded assets into their portfolios without sacrificing the ability to deliver real estate-like returns. However, in order to do so, a wider range of liquid assets must be considered, not just cash. Originality/value: Despite their importance in the real estate investment industry, comparatively few studies have examined the structure and operation of open-ended real estate funds. To the authors’ knowledge, this is the first study to analyse the optimal composition of liquid assets within blended or hybrid real estate portfolios

Ultimate SLAM? Combining Events, Images, and IMU for Robust Visual SLAM in HDR and High Speed Scenarios

Event cameras are bio-inspired vision sensors that output pixel-level brightness changes instead of standard intensity frames. These cameras do not suffer from motion blur and have a very high dynamic range, which enables them to provide reliable visual information during high speed motions or in scenes characterized by high dynamic range. However, event cameras output only little information when the amount of motion is limited, such as in the case of almost still motion. Conversely, standard cameras provide instant and rich information about the environment most of the time (in low-speed and good lighting scenarios), but they fail severely in case of fast motions, or difficult lighting such as high dynamic range or low light scenes. In this paper, we present the first state estimation pipeline that leverages the complementary advantages of these two sensors by fusing in a tightly-coupled manner events, standard frames, and inertial measurements. We show on the publicly available Event Camera Dataset that our hybrid pipeline leads to an accuracy improvement of 130% over event-only pipelines, and 85% over standard-frames-only visual-inertial systems, while still being computationally tractable. Furthermore, we use our pipeline to demonstrate - to the best of our knowledge - the first autonomous quadrotor flight using an event camera for state estimation, unlocking flight scenarios that were not reachable with traditional visual-inertial odometry, such as low-light environments and high-dynamic range scenes.Comment: 8 pages, 9 figures, 2 table

Model predictive control techniques for hybrid systems

This paper describes the main issues encountered when applying model predictive control to hybrid processes. Hybrid model predictive control (HMPC) is a research field non-fully developed with many open challenges. The paper describes some of the techniques proposed by the research community to overcome the main problems encountered. Issues related to the stability and the solution of the optimization problem are also discussed. The paper ends by describing the results of a benchmark exercise in which several HMPC schemes were applied to a solar air conditioning plant.Ministerio de Eduación y Ciencia DPI2007-66718-C04-01Ministerio de Eduación y Ciencia DPI2008-0581