scholarly journals Mimicking Portfolios with Conditioning Information

2006 ◽  
Vol 41 (3) ◽  
pp. 607-635 ◽  
Author(s):  
Wayne Ferson ◽  
Andrew F. Siegel ◽  
Pisun (Tracy) Xu
Keyword(s):  
Asset Pricing ◽  
Minimum Variance ◽  
Time Varying ◽  
Potential Importance ◽  
State Variables ◽  
Pricing Research ◽  
Economic State ◽  
Conditioning Information ◽  
Mean Variance ◽  
Over Time

AbstractMimicking portfolios have long been useful in asset pricing research. In most empirical applications, the portfolio weights are assumed to be fixed over time, while in theory they may be functions of the economic state. This paper derives and characterizes mimicking portfolios in the presence of predetermined state variables, or conditioning information. The results generalize and integrate multifactor minimum variance efficiency (Fama (1996)) with conditional and unconditional mean-variance efficiency (Hansen and Richard (1987), Ferson and Siegel (2001)). Empirical examples illustrate the potential importance of time-varying mimicking portfolio weights and highlight challenges in their application.

scholarly journals An Investigation of the ICAPM in Japan: Evidence from the Tokyo Stock Exchange with a Review of International and Accounting Research

2011 ◽  
Vol 1 (1) ◽  
pp. 18 ◽  
Author(s):  
Chikashi Tsuji
Keyword(s):  
Asset Pricing ◽  
Trading Volume ◽  
Stock Exchange ◽  
Consumer Price Index ◽  
Capital Asset Pricing ◽  
Time Varying ◽  
State Variables ◽  
Accounting Research ◽  
Market Return ◽  
Tokyo Stock Exchange

After the recent US and international related literature review, this paper explores the state variables that are priced in the Intertemporal Capital Asset Pricing Model (ICAPM) in Japan. Deriving the time-varying covariance risks by using the multivariate Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, we analyze the ICAPM in the Tokyo Stock Exchange. Our empirical examinations clarify that in Japan, the time-varying covariance between the first difference of the seasonally adjusted Consumer Price Index and market return and the time-varying covariance between the first difference of the trading volume divided by Japanese Gross Domestic Product and market return are priced in Merton’s ICAPM. Further, we discuss the prospect for asset pricing and accounting research by reviewing the recent combined studies.

Robustness Over Time-Varying Channels in DNN-HMM ASR Based Human-Robot Interaction

2017 ◽  
Author(s):  
José Novoa ◽  
Jorge Wuth ◽  
Juan Pablo Escudero ◽  
Josué Fredes ◽  
Rodrigo Mahu ◽  
...  
Keyword(s):  
Human Robot Interaction ◽  
Time Varying ◽  
Robot Interaction ◽  
Time Varying Channels ◽  
Over Time

scholarly journals Epidemic Processes Over Time-Varying Networks

2018 ◽  
Vol 5 (3) ◽  
pp. 1322-1334 ◽  
Author(s):  
Philip E. Pare ◽  
Carolyn L. Beck ◽  
Angelia Nedic
Keyword(s):  
Time Varying ◽  
Time Varying Networks ◽  
Over Time

A novel robust finite-time tracking control of uncertain robotic manipulators with disturbances

2020 ◽  
pp. 107754632098244
Author(s):  
Hamid Razmjooei ◽  
Mohammad Hossein Shafiei ◽  
Elahe Abdi ◽  
Chenguang Yang
Keyword(s):  
Finite Time ◽  
Control Method ◽  
Sliding Mode ◽  
Robotic Manipulators ◽  
Sliding Mode Controller ◽  
Time Varying ◽  
State Variables ◽  
Terminal Sliding Mode ◽  
Control Laws ◽  
Finite Time Boundedness

In this article, an innovative technique to design a robust finite-time state feedback controller for a class of uncertain robotic manipulators is proposed. This controller aims to converge the state variables of the system to a small bound around the origin in a finite time. The main innovation of this article is transforming the model of an uncertain robotic manipulator into a new time-varying form to achieve the finite-time boundedness criteria using asymptotic stability methods. First, based on prior knowledge about the upper bound of uncertainties and disturbances, an innovative finite-time sliding mode controller is designed. Then, the innovative finite-time sliding mode controller is developed for finite-time tracking of time-varying reference signals by the outputs of the system. Finally, the efficiency of the proposed control laws is illustrated for serial robotic manipulators with any number of links through numerical simulations, and it is compared with the nonsingular terminal sliding mode control method as one of the most powerful finite-time techniques.

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