Performance Evaluation with Stochastic Discount Factors

We study the use of stochastic discount factor (SDF) models in evaluating the investment performance of portfolio managers. By constructing artificial mutual funds with known levels of investment ability, we evaluate a large set of SDF models. We find that the measures of performance are not highly sensitive to the SDF model, and that most of the models have a mild negative bias when performance is neutral. We use the models to evaluate a sample of U.S. equity mutual funds. Adjusting for the observed bias, we find that the average mutual fund has enough ability to cover its transactions costs. Extreme funds are more likely to have good rather than poor risk adjusted performance. Our analysis also reveals a number of implementation issues relevant to other applications of SDF models.

A Framework for Probabilistic Evaluation of Interval Management Tolerance in the Terminal Radar Control Area

Projections of future traffic in the national airspace show that most of the hub airports and their attendant airspace will need to undergo significant redevelopment and redesign in order to accommodate any significant increase in traffic volume. Even though closely spaced parallel approaches increase throughput into a given airport, controller workload in oversubscribed metroplexes is further taxed by these approaches that require stringent monitoring in a saturated environment. The interval management (IM) concept in the TRACON area is designed to shift some of the operational burden from the control tower to the flight deck, placing the flight crew in charge of implementing the required speed changes to maintain a relative spacing interval. The interval management tolerance is a measure of the allowable deviation from the desired spacing interval for the IM aircraft (and its target aircraft). For this complex task, Formal Methods can help to ensure better design and system implementation. In this paper, we propose a probabilistic framework to quantify the uncertainty and performance associated with the major components of the IM tolerance. The analytical basis for this framework may be used to formalize both correctness and probabilistic system safety claims in a modular fashion at the algorithmic level in a way compatible with several Formal Methods tools

Candidate hypervelocity stars of spectral type G and K revisited

Hypervelocity stars (HVS) move so fast that they are unbound to the Galaxy. When they were first discovered in 2005, dynamical ejection from the supermassive black hole (SMBH) in the Galactic Centre (GC) was suggested as their origin. The two dozen HVSs known today are young massive B stars, mostly of 3-4 solar masses. Recently, 20 HVS candidates of low mass were discovered in the Segue G and K dwarf sample, but none of them originates from the GC. We embarked on a kinematic analysis of the Segue HVS candidate sample using the full 6D phase space information based on new proper motion measurements. Their orbital properties can then be derived by tracing back their trajectories in different mass models of our Galaxy. We present the results for 14 candidate HVSs, for which proper motion measurements were possible. Significantly lower proper motions than found in the previous study were derived. Considering three different Galactic mass models we find that all stars are bound to the Galaxy. We confirm that the stars do not originate from the GC. The distribution of their proper motions and radial velocities is consistent with predictions for runaway stars ejected from the Galactic disk by the binary supernova mechanism. However, their kinematics are also consistent with old disk membership. Moreover, most stars have rather low metallicities and strong $\alpha$-element enrichment as typical for thick disk and halo stars, whereas the metallicity of the three most metal-rich stars could possibly indicate that they are runaway stars from the thin disk. One star shows halo kinematics.Comment: A&A letter accepte

Hot subdwarf stars and their connection to thermonuclear supernovae

Hot subdwarf stars (sdO/Bs) are evolved core helium-burning stars with very thin hydrogen envelopes, which can be formed by common envelope ejection. Close sdB binaries with massive white dwarf (WD) companions are potential progenitors of thermonuclear supernovae type Ia (SN Ia). We discovered such a progenitor candidate as well as a candidate for a surviving companion star, which escapes from the Galaxy. More candidates for both types of objects have been found by crossmatching known sdB stars with proper motion and light curve catalogues. The Gaia mission will provide accurate astrometry and light curves of all the stars in our hot subdwarf sample and will allow us to compile a much larger all-sky catalogue of those stars. In this way we expect to find hundreds of progenitor binaries and ejected companions.Comment: Proceedings of the 11th Pacific Rim Conference on Stellar Astrophysics, Hong Kong 2015, Journal of Physics: Conference Series, in pres

The orbits of subdwarf-B + main-sequence binaries. II. Three eccentric systems; BD+29 3070, BD +34 1543 and Feige 87

The predicted orbital-period distribution of the subdwarf-B (sdB) population is bi-modal with a peak at short ( 250 days) periods. Observationally, many short-period sdB systems are known, but the predicted long period peak is missing as orbits have only been determined for a few long-period systems. As these predictions are based on poorly understood binary-interaction processes, it is of prime importance to confront the predictions with reliable observational data. We therefore initiated a monitoring program to find and characterize long-period sdB stars. In this paper we aim to determine the orbital parameters of the three long-period sdB+MS binaries BD+29 3070, BD+34 1543 and Feige 87, to constrain their absolute dimensions and the physical parameters of the components. High-resolution spectroscopic time series were obtained with HERMES at the Mercator telescope on La Palma, and analyzed to determine the radial velocities of both the sdB and MS components. Photometry from the literature was used to construct the spectral-energy distribution (SED) of the binaries. Atmosphere models were used to fit these SEDs and to determine the surface gravities and temperatures of both components of all systems. Spectral analysis was used to check the results of the SEDs. An orbital period of 1283 +- 63 d, a mass ratio of q = 0.39 +- 0.04 and a significant non-zero eccentricity of e = 0.15 +- 0.01 were found for BD+29 3070. For BD+34 1543 we determined P = 972 +- 2 d, q = 0.57 +- 0.01 and again a clear non-zero eccentricity of e = 0.16 +- 0.01. Last, for Feige 87 we found P = 936 +- 2 d, q = 0.55 +- 0.01 and e = 0.11 +- 0.01. BD+29 3070, BD+34 1543 and Feige 87 are long period sdB + MS binaries on clearly eccentric orbits. These results are in conflict with the predictions of stable Roche-lobe overflow models.Comment: 15 pages, 6 figures, Accepted by A&

The MUCHFUSS photometric campaign

Hot subdwarfs (sdO/Bs) are the helium-burning cores of red giants, which lost almost all of their hydrogen envelopes. This mass loss is often triggered by common envelope interactions with close stellar or even substellar companions. Cool companions like late-type stars or brown dwarfs are detectable via characteristic light curve variations like reflection effects and often also eclipses. To search for such objects we obtained multi-band light curves of 26 close sdO/B binary candidates from the MUCHFUSS project with the BUSCA instrument. We discovered a new eclipsing reflection effect system ($P=0.168938$~d) with a low-mass M dwarf companion ($0.116 M_{\rm \odot}$). Three more reflection effect binaries found in the course of the campaign were already published, two of them are eclipsing systems, in one system only showing the reflection effect but no eclipses the sdB primary is found to be pulsating. Amongst the targets without reflection effect a new long-period sdB pulsator was discovered and irregular light variations were found in two sdO stars. The found light variations allowed us to constrain the fraction of reflection effect binaries and the substellar companion fraction around sdB stars. The minimum fraction of reflection effect systems amongst the close sdB binaries might be greater than 15\% and the fraction of close substellar companions in sdB binaries might be as high as $8.0\%$. This would result in a close substellar companion fraction to sdB stars of about 3\%. This fraction is much higher than the fraction of brown dwarfs around possible progenitor systems, which are solar-type stars with substellar companions around 1 AU, as well as close binary white dwarfs with brown dwarf companions. This might be a hint that common envelope interactions with substellar objects are preferentially followed by a hot subdwarf phase.Comment: accepted for A&

The Deuterium, Oxygen, and Nitrogen Abundance Toward LSE 44

We present measurements of the column densities of interstellar DI, OI, NI, and H2 made with FUSE, and of HI made with IUE toward the sdO star LSE 44, at a distance of 554+/-66 pc. This target is among the seven most distant Galactic sight lines for which these abundance ratios have been measured. The column densities were estimated by profile fitting and curve of growth analyses. We find D/H = (2.24 +1.39 -1.32)E-5, D/O = (1.99 +1.30 -0.67)E-2, D/N = (2.75 +1.19 -0.89)E-1, and O/H = (1.13 +0.96 -0.71)E-3 (2 sigma). Of the most distant Galactic sight lines for which the deuterium abundance has been measured LSE 44 is one of the few with D/H higher than the Local Bubble value, but D/O toward all these targets is below the Local Bubble value and more uniform than the D/H distribution. (Abstract abridged.)Comment: 20 pages, including 9 figures. Accepted for publication in Ap

The MultiSite Spectroscopic Telescope campaign: 2m spectroscopy of the V361 Hya variable PG1605+072

We present results and analysis for the 2m spectroscopic part of the MultiSite Spectroscopic Telescope (MSST) campaign undertaken in May/June 2002. The goal of the project was to observe the pulsating subdwarf B star PG1605+072 simultaneously in velocity and photometry and to resolve as many of the >50 known modes as possible, which will allow a detailed asteroseismological analysis. We have obtained over 150 hours of spectroscopy, leading to an unprecedented noise level of only 207m/s. We report here the detection of 20 frequencies in velocity, with two more likely just below our detection threshold. In particular, we detect 6 linear combinations, making PG1605+072 only the second star known to show such frequencies in velocity. We investigate the phases of these combinations and their parent modes and find relationships between them that cannot be easily understood based on current theory. These observations, when combined with our simultaneous photometry, should allow asteroseismology of this most complicated of sdB pulsators.Comment: 9 pages, 5 figures, accepted for publication in A&A; Figure 1 at lower resolution than accepted versio

Comparison of Aircraft Models and Integration Schemes for Interval Management in the TRACON

Reusable models of common elements for communication, computation, decision and control in air traffic management are necessary in order to enable simulation, analysis and assurance of emergent properties, such as safety and stability, for a given operational concept. Uncertainties due to faults, such as dropped messages, along with non-linearities and sensor noise are an integral part of these models, and impact emergent system behavior. Flight control algorithms designed using a linearized version of the flight mechanics will exhibit error due to model uncertainty, and may not be stable outside a neighborhood of the given point of linearization. Moreover, the communication mechanism by which the sensed state of an aircraft is fed back to a flight control system (such as an ADS-B message) impacts the overall system behavior; both due to sensor noise as well as dropped messages (vacant samples). Additionally simulation of the flight controller system can exhibit further numerical instability, due to selection of the integration scheme and approximations made in the flight dynamics. We examine the theoretical and numerical stability of a speed controller under the Euler and Runge-Kutta schemes of integration, for the Maintain phase for a Mid-Term (2035-2045) Interval Management (IM) Operational Concept for descent and landing operations. We model uncertainties in communication due to missed ADS-B messages by vacant samples in the integration schemes, and compare the emergent behavior of the system, in terms of stability, via the boundedness of the final system state. Any bound on the errors incurred by these uncertainties will play an essential part in a composable assurance argument required for real-time, flight-deck guidance and control systems,. Thus, we believe that the creation of reusable models, which possess property guarantees, such as safety and stability, is an innovative and essential requirement to assessing the emergent properties of novel airspace concepts of operation