Economic Properties of the Risk Sensitive Criterion for Portfolio Management

2003 ◽  
Vol 2 (2) ◽  
pp. 3-17 ◽  
Author(s):  
Tomasz R. Bielecki ◽  
Stanley R. Pliska
Keyword(s):  
Growth Rate ◽  
Control Theory ◽  
Stochastic Control ◽  
Expected Utility ◽  
Portfolio Management ◽  
Theoretical Studies ◽  
Control Methods ◽  
Trade Off ◽  
Average Return ◽  
Risk Sensitive

The idea of using stochastic control methods for theoretical studies of portfolio management has long been standard, with maximum expected utility criteria commonly being used. But in recent years a new kind of criterion, the risk sensitive criterion, has emerged from the control theory literature and been applied to portfolio management. This paper studies various economic properties of this criterion for portfolio management, thereby providing justification for its theoretical and practical use. In particular, it is shown that the risk sensitive criterion amounts to maximizing a portfolio's risk adjusted growth rate. In other words, it is essentially the same as what is commonly done in practice: find the best trade‐off between a portfolio's average return and its average volatility.

Robust Two-degree-of-freedom Control Based on H∞ Method for PMSM Drive System

2020 ◽  
Vol 13 (4) ◽  
pp. 496-506
Author(s):  
Qixin Zhu ◽  
Lei Xiong ◽  
Hongli Liu ◽  
Yonghong Zhu ◽  
Guoping Zhang
Keyword(s):  
Control System ◽  
Control Theory ◽  
Position Control ◽  
Dynamic Performance ◽  
Servo System ◽  
Degree Of Freedom ◽  
Trade Off ◽  
Standard Design ◽  
Position Controller ◽  
Two Degree Of Freedom

Background: The conventional method using one-degree-of-freedom (1DOF) controller for Permanent Magnet Synchronous Motor (PMSM) servo system has the trade-off problem between the dynamic performance and the robustness. Methods: In this paper, by using H∞ control theory, a novel robust two-degree-of-freedom (2DOF) controller has been proposed to improve the position control performance of PMSM servo system. Using robust control theory and 2DOF control theory, a H∞ robust position controller has been designed and discussed in detail. Results: The trade-off problem between the dynamic performance and robustness which exists in one-degree-of-freedom (1DOF) control can be dealt with by the application of 2DOF control theory. Then, through H∞ control theory, the design of robust position controller can be translated to H∞ robust standard design problem. Moreover, the control system with robust controller has been proved to be stable. Conclusion: Further simulation results demonstrate that compared with the conventional PID control, the designed control system has better robustness and attenuation to the disturbance of load impact.

Stochastic Control Theory

1997 ◽  
pp. 97-145
Author(s):  
Jati K. Sengupta ◽  
Phillip Fanchon
Keyword(s):  
Control Theory ◽  
Stochastic Control ◽  
Stochastic Control Theory

scholarly journals Escherichia colipopulations adapt to complex, unpredictable fluctuations without any trade-offs across environments

2016 ◽  
Author(s):  
Shraddha Karve ◽  
Devika Bhave ◽  
Dhanashri Nevgi ◽  
Sutirth Dey
Keyword(s):  
Escherichia Coli ◽  
Growth Rate ◽  
Growth Rates ◽  
Complex Environments ◽  
Multiple Stresses ◽  
Trade Off ◽  
Trade Offs ◽  
Fluctuating Environments ◽  
Laboratory Populations ◽  
Lower Variation

AbstractIn nature, organisms are simultaneously exposed to multiple stresses (i.e. complex environments) that often fluctuate unpredictably. While both these factors have been studied in isolation, the interaction of the two remains poorly explored. To address this issue, we selected laboratory populations ofEscherichia coliunder complex (i.e. stressful combinations of pH, H2O2and NaCl) unpredictably fluctuating environments for ~900 generations. We compared the growth rates and the corresponding trade-off patterns of these populations to those that were selected under constant values of the component stresses (i.e. pH, H2O2and NaCl) for the same duration. The fluctuation-selected populations had greater mean growth rate and lower variation for growth rate over all the selection environments experienced. However, while the populations selected under constant stresses experienced severe tradeoffs in many of the environments other than those in which they were selected, the fluctuation-selected populations could by-pass the across-environment trade-offs completely. Interestingly, trade-offs were found between growth rates and carrying capacities. The results suggest that complexity and fluctuations can strongly affect the underlying trade-off structure in evolving populations.

Bank's Portfolio Management under Uncertainty

1992 ◽  
Vol 36 (2) ◽  
pp. 30-38
Author(s):  
Subarna K. Samanta ◽  
Ali H. Mohamad-Zadeh
Keyword(s):  
Inventory Management ◽  
Commercial Bank ◽  
Expected Utility ◽  
Portfolio Management ◽  
Decision Rules ◽  
Optimal Decision ◽  
Net Income ◽  
Major Objective ◽  
Excess Reserves

The major objective of this paper is to derive a set of optimal decision rules (for asset or inventory management) for a commercial bank operating under uncertain circumstances (subject to stochastic deposit loss). The bank is assumed to be maximizing the expected utility derived from it's net income. This objective is realized by the marginal conditions of the model. It shows how and under what conditions, the banker should expand loans at the expense of securities and/or excess reserves and how he adjusts to de-regulations and how the change in uncertainty about the deposit loss affects him.

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