System-theoretic trends in econometrics

Economics;Estimation;econometrics

The History of the Quantitative Methods in Finance Conference Series. 1992-2007

This report charts the history of the Quantitative Methods in Finance (QMF) conference from its beginning in 1993 to the 15th conference in 2007. It lists alphabetically the 1037 speakers who presented at all 15 conferences and the titles of their papers.

A review of portfolio planning: Models and systems

In this chapter, we first provide an overview of a number of portfolio planning models which have been proposed and investigated over the last forty years. We revisit the mean-variance (M-V) model of Markowitz and the construction of the risk-return efficient frontier. A piecewise linear approximation of the problem through a reformulation involving diagonalisation of the quadratic form into a variable separable function is also considered. A few other models, such as, the Mean Absolute Deviation (MAD), the Weighted Goal Programming (WGP) and the Minimax (MM) model which use alternative metrics for risk are also introduced, compared and contrasted. Recently asymmetric measures of risk have gained in importance; we consider a generic representation and a number of alternative symmetric and asymmetric measures of risk which find use in the evaluation of portfolios. There are a number of modelling and computational considerations which have been introduced into practical portfolio planning problems. These include: (a) buy-in thresholds for assets, (b) restriction on the number of assets (cardinality constraints), (c) transaction roundlot restrictions. Practical portfolio models may also include (d) dedication of cashflow streams, and, (e) immunization which involves duration matching and convexity constraints. The modelling issues in respect of these features are discussed. Many of these features lead to discrete restrictions involving zero-one and general integer variables which make the resulting model a quadratic mixed-integer programming model (QMIP). The QMIP is a NP-hard problem; the algorithms and solution methods for this class of problems are also discussed. The issues of preparing the analytic data (financial datamarts) for this family of portfolio planning problems are examined. We finally present computational results which provide some indication of the state-of-the-art in the solution of portfolio optimisation problems

Power quality and electromagnetic compatibility: special report, session 2

The scope of Session 2 (S2) has been defined as follows by the Session Advisory Group and the Technical Committee: Power Quality (PQ), with the more general concept of electromagnetic compatibility (EMC) and with some related safety problems in electricity distribution systems. Special focus is put on voltage continuity (supply reliability, problem of outages) and voltage quality (voltage level, flicker, unbalance, harmonics). This session will also look at electromagnetic compatibility (mains frequency to 150 kHz), electromagnetic interferences and electric and magnetic fields issues. Also addressed in this session are electrical safety and immunity concerns (lightning issues, step, touch and transferred voltages). The aim of this special report is to present a synthesis of the present concerns in PQ&EMC, based on all selected papers of session 2 and related papers from other sessions, (152 papers in total). The report is divided in the following 4 blocks: Block 1: Electric and Magnetic Fields, EMC, Earthing systems Block 2: Harmonics Block 3: Voltage Variation Block 4: Power Quality Monitoring Two Round Tables will be organised: - Power quality and EMC in the Future Grid (CIGRE/CIRED WG C4.24, RT 13) - Reliability Benchmarking - why we should do it? What should be done in future? (RT 15

A short note on the problematic concept of excess demand in asset pricing models with mean-variance optimization

Referring to asset pricing models where demand is proportional to excess returns and said to be derived from a mean-variance optimization problem, the note formulates what probably is common knowledge but hardly ever made an explicit subject of discussion. This is an insufficient distinction between the desired holding of the risky asset on the part of the speculative agents, which is the solution to the optimization problem and usually directly presented as excess demand, and the desired change in this holding, which is what should reasonably constitute the excess demand on the market. The note arrives at the conclusion that in models with a market maker the story of the maximization of expected wealth should be dropped

構造化データに対する予測手法：グラフ，順序，時系列

京都大学新制・課程博士博士(情報学)甲第23439号情博第769号新制||情||131(附属図書館)京都大学大学院情報学研究科知能情報学専攻(主査)教授 鹿島 久嗣, 教授 山本 章博, 教授 阿久津 達也学位規則第4条第1項該当Doctor of InformaticsKyoto UniversityDFA

Monetary Policy, Regulation and Volatile Markets

Turmoil in financial markets causes reflection. Is monetary policy conducted in the most efficient way? Are regulatory and supervisory arrangements adequate when market volatility increases and financial institutions come under stress? In the present SUERF Study, we have collected the reflections by an outstanding group of top officials, researchers and observers. The editors are proud to be able to present their joint insights to SUERF readers. The papers were presented at the 27th SUERF Colloquium in Munich in June 2008: New trends in asset management: Exploring the implications.Financial markets, volatility, regulatory and supervisory arrangements, LATW, bubbles, monetary policy, asset prices, interest rate policy, LTCM, Basel II, MiFID, subprime, CDOs

Investigation of Some Self-Optimizing Control Problems for Net-Zero Energy Buildings

Green buildings are sustainable buildings designed to be environmentally responsible and resource efficient. The Net-Zero Energy Building (NZEB) concept is anchored on two pillars: reducing the energy consumption and enhancing the local energy generation. In other words, efficient operation of the existing building equipment and efficient power generation of building integrated renewable energy sources are two important factors of NZEB development. The heating, ventilation and air conditioning (HVAC) systems are an important class of building equipment that is responsible for large portion of building energy usage, while the building integrated photovoltaic (BIPV) system is well received as the key technology for local generation of clean power. Building system operation is a low-investment practice that aims low operation and maintenance cost. However, building HVAC and BIPV are systems subject to complicated intrinsic processes and highly variable environmental conditions and occupant behavior. Control, optimization and monitoring of such systems desire simple and effective approaches that require the least amount of model information and the use of smallest number but most robust sensor measurements. Self-optimizing control strategies promise a competitive platform for control, optimization and control integrated monitoring for building systems, and especially for the development of cost-effective NZEB. This dissertation study endorses this statement with three aspects of work relevant to building HVAC and BIPV, which could contribute several small steps towards the ramification of the self-optimizing control paradigm. This dissertation study applies self-optimizing control techniques to improve the energy efficiency of NZEB from two aspects. First, regarding the building HVAC efficiency, the dither based extremum seeking control (DESC) scheme is proposed for energy efficient operation of the chilled-water system typically used in the commercial building ventilation and air conditioning (VAC) systems. To evaluate the effectiveness of the proposed control strategy, Modelica based dynamic simulation model of chilled water chiller-tower plant is developed, which consists of a screw chiller and a mechanical-draft counter-flow wet cooling tower. The steady-state performance of the cooling tower model is validated with the experimental data in a classic paper and good agreement is observed. The DESC scheme takes the total power consumption of the chiller compressor and the tower fan as feedback, and uses the fan speed setting as the control input. The inner loop controllers for the chiller operation include two proportional-integral (PI) control loops for regulating the evaporator superheat and the chilled water temperature. Simulation was conducted on the whole dynamic simulation model with different environment conditions. The simulation results demonstrated the effectiveness of the proposed ESC strategy under abrupt changes of ambient conditions and load changes. The potential for energy savings of these cases are also evaluated. The back-calculation based anti-windup ESC is also simulated for handling the integral windup problem due to actuator saturation. Second, both maximum power point tracking (MPPT) and control integrated diagnostics are investigated for BIPV with two different extremum seeking control strategies, which both would contribute to the reduction of the cost of energy (COE). In particular, the Adaptive Extremum Seeking Control (AESC) is applied for PV MPPT, which is based on a PV model with known model structure but unknown nonlinear characteristics for the current-voltage relation. The nonlinear uncertainty is approximated by a radial basis function neural network (RBFNN). A Lyapunov based inverse optimal design technique is applied to achieve parameter estimation and gradient based extremum seeking. Simulation study is performed for scenarios of temperature change, irradiance change and combined change of temperature and irradiance. Successful results are observed for all cases. Furthermore, the AESC simulation is compared to the DESC simulation, and AESC demonstrates much faster transient responses under various scenarios of ambient changes. Many of the PV degradation mechanisms are reflected as the change of the internal resistance. A scheme of detecting the change of PV internal shunt resistance is proposed using the available signals in the DESC based MPPT with square-wave dither. The impact of the internal resistance on the transient characteristics of step responses is justified by using the small-signal transfer function analysis. Simulation study is performed for both the single-string and multi-string PV examples, and both cases have demonstrated successful results. Monotonic relationship between integral error indices and the shunt internal resistance is clearly observed. In particular, for the multi-string, the inter-channel coupling is weak, which indicates consistent monitoring for multi-string operation. The proposed scheme provides the online monitoring ability of the internal resistance condition without any additional sensor, which benefits further development of PV degradation detection techniques

Delegated Portfolio Management and Risk Taking Behavior

Standard models of moral hazard predict a negative relationship between risk and incentives; however empirical studies on mutual funds present mixed results. In this paper, we propose a behavioral principal-agent model in the context of professional managers, focusing on active and passive investment strategies. Using this general framework, we evaluate how incentives affect the risk taking behavior of managers, using the standard moral hazard model as a special case; and solve the previous contradiction. Empirical evidence, based on a comprehensive world sample of 4584 mutual funds, gives support to our theoretical model.