This paper further explores the horizon e®ect 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 longterm 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 predi...

We present an improved implementation of the Wagner-Whitin algorithm for economic lot-sizing problems based on the planning-horizon theorem and the Economic- Part-Period concept. The proposed method of this paper reduces the burden of the computations significantly in two different cases. We first assume there is no backlogging and inventory holding and set-up costs are fixed. The second model ...

introduction: playa is one of the most important landscapes in arid regions which covers about 1% of the world's total land area. study of playas is important from different points of view especially pedology, sedimentology, mineralogy, environmental geology, groundwater and surface water chemistry. more than 60 playas have been identified in iran. considering the fact that playas and surroundi...

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...

Reinforcement learning aims to determine an (infinite time horizon) optimal control policy from interaction with a system. It can be solved by approximating the so-called Q-function from a sample of four-tuples (xt, ut, rt, xt+1) where xt denotes the system state at time t, ut the control action taken, rt the instantaneous reward obtained and xt+1 the successor state of the system, and by deter...

We consider an economy à la Lucas (1978, Econometrica 46, 1429–1446) with a risk-averse representative agent. The exogenous growth rate of the economy follows a random walk. We characterize the set of utility functions for which it is efficient to discount more distant cash flows at a lower rate. The benchmark result is that, when the growth rate is almost surely nonnegative, the yield curve is...

We present exact analytic results for a new version of the Minority Game (MG) in which strategy performance is recorded over a finite time horizon. The dynamics of this Time Horizon Minority Game (THMG) exhibit many distinct features from the MG and depend strongly on whether the participants are fed real, or random, history strings. The THMG equations are equivalent to a Markov Chain, and yiel...

A framework for robustness analysis of input constrained nite receding horizon control is presented. Under the assumption of quadratic upper bounds on the nite horizon costs, we derive suucient conditions for robust stability of the standard discrete-time linear-quadratic receding horizon control formulation. This is achieved by recasting conditions for nominal and robust stability as an implic...

We are exploring algorithms to predict the aggregate power output of many photovoltaic systems in a single geographic region on a 3-hour time horizon at 5-minute steps (a 36-step forecast) based only on observed system power. The goal is to correctly identify upcoming “ramp events,” or large positive or negative deviations from a long-term trend over a short time period (Sevlian and Rajagopal, ...

We formulate conditions on the geometry of a non-expanding horizon ∆ which are sufficient for the space-time metric to coincide on ∆ with the Kerr metric. We introduce an invariant which can be used as a measure of how different the geometry of a given non-expanding horizon is from the geometry of the Kerr horizon. Directly, our results concern the space-time metric at ∆ at the zeroth and the f...