Term structure information and bond strategies

We examine term structure theories by using a novel approach. We form bond investment strategies based on different theories of the term structure in order to determine which strategy performs best. When using a manipulation-proof performance measure, we find that consistent with prior literature, an active strategy that is based on time varying term premiums can indeed form the basis of a successful bond strategy that outperforms an unbiased expectation inspired passive bond buy and hold strategy. This is true, however, for an earlier time period when the literature first made this claim. In a later time period, we find that the passive buy and hold strategy is significantly superior to all active strategies. This result is confirmed by statistical tests and it suggests that once it became known that an active strategy based on time varying term premiums could outperform a passive buy and hold strategy, the markets adjusted and arbitraged away this opportunity. Overall, it appears that the unbiased expectation hypothesis is the most likely explanation of the behaviour of the term structure during more recent times. This is because economically and statistically significant superior performance cannot be achieved if one uses information from the forward curve or the term structure as a guide to adjusting bond portfolios in response to changes in the term premium.This work was supported by Junta de Comunidades de Castilla-La Mancha [grant number PEII11-0031-6939]; Ministerio de Ciencia e Innovación [grant number ECO2011-28134] and partially supported by Fondo Europeo de Desarrollo Regional (FEDER) funds.

Fast linear control for maximum energy efficiency of wireless power transfer systems

3rd IEEE International Future Energy Electronics Conference and ECCE Asia, IFEEC - ECCE Asia 2017, Kaohsiung, Taiwan, 3-7 June 2017Inductive power transfer (IPT) converters are resonant converters that optimize energy efficiencies at some loads. To achieve maximum efficiency, it is common to cascade the IPT converter with front-side and load-side dc-dc converters. The two dc-dc converters are normally controlled cooperatively in order to meet the requirements of output regulation and maximum efficiency tracking using a control technique based on perturbation and observation, which is inevitably slow in response. In this paper, a decoupled control technique is developed. The load-side dc-dc converter is solely responsible for output regulation while the front-side converter is responsible for impedance-matching of the IPT converter by controlling its input-to-output voltage ratio. The controls are linear and therefore fast. DC and small-signal transfer functions are derived for designing the control parameters. The performances of fast regulation and high efficiency of the IPT converter system are verified using a prototype system.Department of Electronic and Information Engineering2016-2017 > Academic research: refereed > Refereed conference paperbcw