Maximization of the portfolio growth rate under fixed and proportional transaction costs

This paper considers a discrete-time Markovian model of asset prices with economic factors and transaction costs with proportional and fixed terms. Existence of optimal strategies maximizing average growth rate of portfolio is proved in the case of complete and partial observation of the process modelling the economic factors. The proof is based on a modification of the vanishing discount approach. The main difficulty is the discontinuity of the controlled transition operator of the underlying Markov process

Synoptic/planetary-scale interactions and blocking over the North Atlantic Ocean

The central theme of this project has been the diagnosis of blocking anticyclogenesis and the corresponding interactions with synoptic-scale circulations. To that end an extensive investigation of the dynamics and energetics of a major blocking anticyclone and two upstream cyclones, all of which occurred over the North Atlantic Ocean and the United States in January 1979, was undertaken. Data for the study were provided by Goddard Laboratory for Atmospheres (GLA) 4 LAT by 5 LON FGGE analyses. The methodology has primarily focused on the diagnosis of circulation forcing mechanisms using the modified forms (referred to as the extended forms) of the height tendency and Zwack-Okossi equations developed by our research group. Calculations use routine second-order finite differencing with boundary layer fraction and sensible heating and latent heat release represented as parameterized quantities. Of particular interest are the latent heat release estimates, which combine convectional parameterized values with estimates derived from satellite IR data. The latter were obtained using an algorithm derived by Dr. Franklin R. Robertson of NASA's Marshall Space Flight Center. Results are contained in project reports, theses and publications identified in previous review summaries and reports, and publications listed at the end of this summary. Significant accomplishments in the past year are presented

Impulsive control of portfolios

In the paper a general model of a market with asset prices and economical factors of Markovian structure is considered. The problem is to find optimal portfolio strategies maximizing a discounted infinite horizon reward functional consisting of an integral term measuring quality of the portfolio at each moment and a discrete term measuring the reward from consumption. There are general transaction costs which, in particular, cover fixed plus proportional costs. It is shown, under general conditions, that there exists an optimal impulse strategy and the value function is a solution to the Bellman equation which corresponds to suitable quasi-variational inequalities

On Optimal Stopping and Impulse Control with Constraint

The optimal stopping and impulse control problems for a Markov-Feller process are considered when the controls are allowed only when a signal arrives. This is referred to as control problems with constraint. In [28, 29, 30], the HJB equation was solved and an optimal control (for the optimal stopping problem, the discounted impulse control problem and the ergodic impulse control problem, respectively) was obtained, under suitable conditions, including a setting on a compact metric state space. In this work, we extend most of the results to the situation where the state space of the Markov process is locally compact

Stall-Induced Vibrations of the AVATAR Rotor Blade

In the course of the AVATAR project, partner predictions for key load components in storm/idle conditions separated in two groups. One group showed large loading due to edgewise instability, the other group damped edgewise oscillation and lower load levels. To identify the cause for this separation, the impact of structural and aerodynamic modeling options on damping of stall-induced vibrations is investigated for two simplified operating conditions of a single AVATAR blade. The choice of the dynamic stall model is found to be the primary driver, and is therefore most likely also the reason for previously observed differences in AVATAR storm load predictions. Differences in structural dynamics, mode shapes, structural and dynamic twist, as well as wake model are only secondary in terms of impact on damping. Resolution suffered from failure of system identification methods to extract reliable damping values from various non-linear response simulations

Unemployment insurance and physical activity

Unemployment insurance (UI) reduces the opportunity cost of leisure, but it is unknown whether this additional leisure time is physically active. To obtain unbiased estimates of the effect of UI on physically active leisure participation, I exploit changes in UI program legislation across US states and time. Using nationally representative monthly data between 2003 and 2010 from the Behavioral Risk Factor Surveillance System (BRFSS) and the American Time Use Survey (ATUS), I find evidence that both state UI eligibility expansions and increases in maximum allowable state UI benefits coincide with greater probability of physical activity among the recently unemployed. Based on point estimates, state UI eligibility expansions increased the probability of physical activity participation by 8–10 percentage points among the unemployed with less than a high school education, while a 10% increase in the maximum allowable state UI benefit increased the probability of physical activity by 0.3 to 0.6 percentage points among the unemployed who have completed high school or some college