Search results for "Tracking error"
showing 5 items of 15 documents
Aggregation of preferences for skewed asset returns
2014
This paper characterizes the equilibrium demand and risk premiums in the presence of skewness risk. We extend the classical mean-variance two-fund separation theorem to a three-fund separation theorem. The additional fund is the skewness portfolio, i.e. a portfolio that gives the optimal hedge of the squared market return; it contributes to the skewness risk premium through co-variation with the squared market return and supports a stochastic discount factor that is quadratic in the market return. When the skewness portfolio does not replicate the squared market return, a tracking error appears; this tracking error contributes to risk premiums through kurtosis and pentosis risk if and only …
Approximation-based adaptive tracking control of stochastic nonlinear systems with a general form
2014
In this paper, an approximation-based adaptive tracking control scheme is proposed for a class of stochastic nonlinear systems with a more general structure. Fuzzy logical systems are used to approximate unknown nonlinearities in the controller design procedure and the backstepping technique is utilized to construct a state-feedback adaptive controller. The proposed controller can guarantee that all the signals in the closed-loop system are fourth-moment semi-globally uniformly ultimately bounded and the tracking error eventually converges to a small neighborhood around the origin. Simulation results are used to show the effectiveness of the proposed control scheme.
The Role of Covariance Matrix Forecasting Method in the Performance of Minimum-Variance Portfolios
2014
Providing a more accurate covariance matrix forecast can substantially improve the performance of optimized portfolios. Using out-of-sample tests, in this paper, we evaluate alternative covariance matrix forecasting methods by looking at (1) their forecast accuracy, (2) their ability to track the volatility of the minimum-variance portfolio, and (3) their ability to keep the volatility of the minimum-variance portfolio at a target level. We find large differences between the methods. Our results suggest that shrinkage of the sample covariance matrix improves neither the forecast accuracy nor the performance of minimum-variance portfolios. In contrast, switching from the sample covariance ma…
Optimal Index Tracking Under Transaction Costs and Impulse Control
1998
We apply impulse control techniques to a cash management problem within a mean-variance framework. We consider the strategy of an investor who is trying to minimise both fixed and proportional transaction costs, whilst minimising the tracking error with respect to an index portfolio. The cash weight is constantly fluctuating due to the stochastic inflow and outflow of dividends and liabilities. We show the existence of an optimal strategy and compute it numerically.
Non-fragile sliding mode control for flexible air-breathing hypersonic vehicles
2012
The non-fragile sliding mode tracking control design problem for a flexible air-breathing hypersonic vehicles (FAHVs) is investigated in this paper. A linearized model is constructed with respect to a trim point for the nonlinear, dynamically coupled simulation model of the FAHVs with external disturbance, then a reference model is designed and a tracking error model is proposed. An integral sliding surface is designed, and then the non-fragile H ∞ controller design problem for the sliding mode dynamics is discussed. sufficient condition is derived for the existence of such a controller in the presence of unmatched disturbance. A SMC law is derived to guarantee the reachability of the speci…