⁎ Corresponding author. Tel.: +61 3 9905 1561; fax: E-mail addresses: [email protected] (S. Kim), [email protected] (R. Gençay). 1 Tel.: +82 53 950 7413; fax: +82 53 950 6247. 2 Tel.: +1 778 7823508; fax: +1 778 7825944. 3 One potential explanation is time-varying risk: that is, strategies is high in bad timeswhen the expectedpremium times when the expected premium for risk is low (s...

We consider optimal control problems for a class of hybrid systems with switches dependent on an external event process. In the case where all event times in this process are fully known, the solution to such problems was obtained in prior work. When event times are uncertain or unknown, we have proposed a Receding Horizon (RH) control scheme in which only some future event information is avail...

Radar shadows are observed when an object that lies within the main beam of a radar transmitter screens a region of the detection space. Objects lying within the screened region, or shadow , reflect no energy back to the radar receiver. When a target screens a region of clutter, such as shown in Fig. 1, the probability of detecting the target may be increased by resolving the lower power return...

This paper further explores the horizon effect in the optimal static and dynamic demand for risky assets under return predictability as documented by Barberis (2000). Contrary to the case of stocks, the optimal demand for long-term Government bonds of a buy-and-hold investor is not necessarily increasing in the investment horizon, and may in fact be decreasing for some initial levels of the pre...

Article history: Received 13 March 2015 Received in revised form 13 April 2015 Accepted 19 May 2015 Available online 22 May 2015 Editor: B. Grinstein We investigate the Cosmic Censorship Conjecture by means of the horizon wave-function (HWF) formalism. We consider a charged massive particle whose quantum mechanical state is represented by a spherically symmetric Gaussian wave-function, and rest...

We construct a new card diagram which accurately draws Weyl spacetimes and represents their global spacetime structure, singularities, horizons and null infinity. As examples we systematically discuss properties of a variety of solutions including black holes as well as recent and new time-dependent gravity solutions which fall under the S-brane class. The new time-dependent Weyl solutions incl...

The normalized maximum likelihood distribution achieves minimax coding (log-loss) regret given a fixed sample size, or horizon, n. It generally requires that n be known in advance. Furthermore, extracting the sequential predictions from the normalized maximum likelihood distribution is computationally infeasible for most statistical models. Several computationally feasible alternative strategie...