The total cost of trading Belgian shares: Brussels versus London

international financial markets;shares;costs

Randomized Control in Performance Analysis and Empirical Asset Pricing

The present article explores the application of randomized control techniques in empirical asset pricing and performance evaluation. It introduces geometric random walks, a class of Markov chain Monte Carlo methods, to construct flexible control groups in the form of random portfolios adhering to investor constraints. The sampling-based methods enable an exploration of the relationship between academically studied factor premia and performance in a practical setting. In an empirical application, the study assesses the potential to capture premias associated with size, value, quality, and momentum within a strongly constrained setup, exemplified by the investor guidelines of the MSCI Diversified Multifactor index. Additionally, the article highlights issues with the more traditional use case of random portfolios for drawing inferences in performance evaluation, showcasing challenges related to the intricacies of high-dimensional geometry.Comment: 57 pages, 7 figures, 2 table

An Overview of Modeling Approaches Applied to Aggregation-Based Fleet Management and Integration of Plug-in Electric Vehicles †

The design and implementation of management policies for plug-in electric vehicles (PEVs) need to be supported by a holistic understanding of the functional processes, their complex interactions, and their response to various changes. Models developed to represent different functional processes and systems are seen as useful tools to support the related studies for different stakeholders in a tangible way. This paper presents an overview of modeling approaches applied to support aggregation-based management and integration of PEVs from the perspective of fleet operators and grid operators, respectively. We start by explaining a structured modeling approach, i.e., a flexible combination of process models and system models, applied to different management and integration studies. A state-of-the-art overview of modeling approaches applied to represent several key processes, such as charging management, and key systems, such as the PEV fleet, is then presented, along with a detailed description of different approaches. Finally, we discuss several considerations that need to be well understood during the modeling process in order to assist modelers and model users in the appropriate decisions of using existing, or developing their own, solutions for further applications

Actuation-Aware Simplified Dynamic Models for Robotic Legged Locomotion

In recent years, we witnessed an ever increasing number of successful hardware implementations of motion planners for legged robots. If one common property is to be identified among these real-world applications, that is the ability of online planning. Online planning is forgiving, in the sense that it allows to relentlessly compensate for external disturbances of whatever form they might be, ranging from unmodeled dynamics to external pushes or unexpected obstacles and, at the same time, follow user commands. Initially replanning was restricted only to heuristic-based planners that exploit the low computational effort of simplified dynamic models. Such models deliberately only capture the main dynamics of the system, thus leaving to the controllers the issue of anchoring the desired trajectory to the whole body model of the robot. In recent years, however, we have seen a number of new approaches attempting to increase the accuracy of the dynamic formulation without trading-off the computational efficiency of simplified models. In this dissertation, as an example of successful hardware implementation of heuristics and simplified model-based locomotion, I describe the framework that I developed for the generation of an omni-directional bounding gait for the HyQ quadruped robot. By analyzing the stable limit cycles for the sagittal dynamics and the Center of Pressure (CoP) for the lateral stabilization, the described locomotion framework is able to achieve a stable bounding while adapting to terrains of mild roughness and to sudden changes of the user desired linear and angular velocities. The next topic reported and second contribution of this dissertation is my effort to formulate more descriptive simplified dynamic models, without trading off their computational efficiency, in order to extend the navigation capabilities of legged robots to complex geometry environments. With this in mind, I investigated the possibility of incorporating feasibility constraints in these template models and, in particular, I focused on the joint torques limits which are usually neglected at the planning stage. In this direction, the third contribution discussed in this thesis is the formulation of the so called actuation wrench polytope (AWP), defined as the set of feasible wrenches that an articulated robot can perform given its actuation limits. Interesected with the contact wrench cone (CWC), this yields a new 6D polytope that we name feasible wrench polytope (FWP), defined as the set of all wrenches that a legged robot can realize given its actuation capabilities and the friction constraints. Results are reported where, thanks to efficient computational geometry algorithms and to appropriate approximations, the FWP is employed for a one-step receding horizon optimization of center of mass trajectory and phase durations given a predefined step sequence on rough terrains. For the sake of reachable workspace augmentation, I then decided to trade off the generality of the FWP formulation for a suboptimal scenario in which a quasi-static motion is assumed. This led to the definition of the, so called, local/instantaneous actuation region and of the global actuation/feasible region. They both can be seen as different variants of 2D linear subspaces orthogonal to gravity where the robot is guaranteed to place its own center of mass while being able to carry its own body weight given its actuation capabilities. These areas can be intersected with the well known frictional support region, resulting in a 2D linear feasible region, thus providing an intuitive tool that enables the concurrent online optimization of actuation consistent CoM trajectories and target foothold locations on rough terrains

Essays in microeconomic theory

The thesis first provides an axiomatic characterization of the probability-weighted minimal norm solution for Bayesian social choice problems with reference points. Chapter 2 provides a characterization of feasibility conditions for general social choice problems. The examples include voting, auctions with externalities, package auctions and exchanges with complementary objects. Chapter 3 examines the existence of ex post efficient and monotone solutions for a two-person bargaining problem. Chapters 4 and 5 investigate two specific problems of designing trading mechanisms with monetary transfers to achieve certain welfare objectives

Algorithms for Competitive Division of Chores

We study the problem of allocating divisible bads (chores) among multiple agents with additive utilities, when money transfers are not allowed. The competitive rule is known to be the best mechanism for goods with additive utilities and was recently extended to chores by Bogomolnaia et al (2017). For both goods and chores, the rule produces Pareto optimal and envy-free allocations. In the case of goods, the outcome of the competitive rule can be easily computed. Competitive allocations solve the Eisenberg-Gale convex program; hence the outcome is unique and can be approximately found by standard gradient methods. An exact algorithm that runs in polynomial time in the number of agents and goods was given by Orlin. In the case of chores, the competitive rule does not solve any convex optimization problem; instead, competitive allocations correspond to local minima, local maxima, and saddle points of the Nash Social Welfare on the Pareto frontier of the set of feasible utilities. The rule becomes multivalued and none of the standard methods can be applied to compute its outcome. In this paper, we show that all the outcomes of the competitive rule for chores can be computed in strongly polynomial time if either the number of agents or the number of chores is fixed. The approach is based on a combination of three ideas: all consumption graphs of Pareto optimal allocations can be listed in polynomial time; for a given consumption graph, a candidate for a competitive allocation can be constructed via explicit formula; and a given allocation can be checked for being competitive using a maximum flow computation as in Devanur et al (2002). Our algorithm immediately gives an approximately-fair allocation of indivisible chores by the rounding technique of Barman and Krishnamurthy (2018).Comment: 38 pages, 4 figure

When to fire bad managers: The role of collusion between management and board of directors

incentives;management;corporate governance