scholarly journals Self-Reconfigurable Constant Multiplier for FPGA

2013 ◽  
Vol 6 (3) ◽  
pp. 1-17 ◽  
Author(s):  
Javier Hormigo ◽  
Gabriel Caffarena ◽  
Juan P. Oliver ◽  
Eduardo Boemo
Keyword(s):  
2018 ◽  
Vol 21 (02) ◽  
pp. 1850012
Author(s):  
INE MARQUET ◽  
WIM SCHOUTENS

Constant proportion portfolio insurance (CPPI) is a structured product created on the basis of a trading strategy. The idea of the strategy is to have an exposure to the upside potential of a risky asset while providing a capital guarantee against downside risk with the additional feature that in case the product has since initiation performed well more risk is taken while if the product has suffered mark-to-market losses, the risk is reduced. In a standard CPPI contract, a fraction of the initial capital is guaranteed at maturity. This payment is assured by investing part of the fund in a riskless manner. The other part of the fund’s value is invested in a risky asset to offer the upside potential. We refer to the floor as the discounted guaranteed amount at maturity. The percentage allocated to the risky asset is typically defined as a constant multiplier of the fund value above the floor. The remaining part of the fund is invested in a riskless manner. In this paper, we combine conic trading in the above described CPPIs. Conic trading strategies explore particular sophisticated trading strategies founded by the conic finance theory i.e. they are valued using nonlinear conditional expectations with respect to nonadditive probabilities. The main idea of this paper is that the multiplier is taken now to be state dependent. In case the algorithm sees value in the underlying asset the multiplier is increased, whereas if the assets is situated in a state with low value or opportunities, the multiplier is reduced. In addition, the direction of the trade, i.e. going long or short the underlying asset, is also decided on the basis of the policy function derived by employing the conic finance algorithm. Since nonadditive probabilities attain conservatism by exaggerating upwards tail loss events and exaggerating downwards tail gain events, the new Conic CPPI strategies can be seen on the one hand to be more conservative and on the other hand better in exploiting trading opportunities.


(1) Introductory .—In Poincaré’s proof of the necessity of Planck’s hypothesis of quanta, an essential stage of the argument depends on the use of Fourier’s integral theorem to invert a particular infinite integral. In the form used by Poincaré this theorem may be enunciated thus:— Under suitable conditions, if Φ( α ) = ∫ ∞ 0 e – αη w ( η ) dη , (1) then w ( η ) = 1/2 πi ∫ c Φ( α ) e αη dη , (2) where c is a contour in the complex α-plane on which R( α ) > γ > 0 and I( α ) goes from - i ∞ to + i ∞. Poincaré develops an argument which shows that, if w ( η ) dη is the a priori probability that the energy of a resonating electron lies between η and η + dη , then Φ( α ) is such that - d {log Φ( α )}/ dα is the mean energy of the resonator at an absolute temperature C/ α , where C is a known constant. When the mean energy of the resonator (of frequency v ) is known by experiment as a function of the absolute temperature, then Φ( α ) is known, except for an arbitrary constant multiplier. A direct appeal to formula (2) then shows that in these conditions, and with the same exception, w ( η ) is also known and is, in fact, unique. It follows at once, and this is the object of Poincaré’s work, that the known facts can be accounted for by one, and only one, function, w ( η )—that is, in short, by the hypothesis of quanta.


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