Abstract. Long term optimal investment problems are studied in a factor model with matrix valued state variables. Explicit parameter restrictions are obtained under which, for an isoelastic investor, the finite horizon value function and optimal strategy converge to their long-run counterparts as the investment horizon approaches infinity. This convergence also yields portfolio turnpikes for ge...

We show that decomposing macroeconomic risks across horizon is key to uncover a tight link between risk premia and the real economy. Exposure in four-year returns to innovations in macroeconomic growth and volatility with a matching half-life of over four years is priced in a wide variety of test assets. Shorter-term risks are not priced. Importantly, we show that long-term growth and volatilit...

In this paper different prediction models based on methods of the artificial intelligence are studied for wind power prediction of single wind farms. The used methods are neural networks, mixture of experts, support vector machines and nearest neighbour search with a superior particle swarm optimization. We build for day-ahead prediction and for short-term prediction with a prediction horizon o...

Sufficient conditions for robust closed-loop stability of a class of dynamic matrix control (DMC) systems arepresented. The I,-norm is used in the objective function of the on-line optimization, thus resulting in a linear programming problem. The ideas of this work, however, are expandable to other DMC-type controllers. The keys to the stability conditions are: to use an end-condition in the mo...

In the context of loop quantum gravity, we construct the phase-space of the isolated horizon with toroidal topology. Within the loop quantum gravity framework, this horizon is described by a torus with N punctures and the dimension of the corresponding phase-space is calculated including the toroidal cycles as degrees of freedom. From this, the black hole entropy can be calculated by counting t...

We study quadratic optimal stochastic control problems with control dependent noise state equation perturbed by an affine term and with stochastic coefficients. Both infinite horizon case and ergodic case are treated. To this purpose we introduce a Backward Stochastic Riccati Equation and a dual backward stochastic equation, both considered in the whole time line. Besides some stabilizability c...

We express the Noether charge entropy density of a black brane in anti-deSitter space in terms of local operators in the anti-deSitter space bulk. We find that Wald’s expression for the Noether charge entropy needs to be modified away from the horizon by an additional term that vanishes on the horizon. We then determine the field theory dual of the Noether charge entropy for theories that asymp...

W examine the extent to which employment horizon concerns affect the relative emphasis on financial versus nonfinancial performance measures in annual bonus plans. We argue that managers of loss-making firms are likely to voluntarily or forcibly depart in the near future and, consequently, have a shorter employment horizon. Loss-making firms then need to increase the emphasis on forward-looking...

By using the brick wall method we calculate the free energy and the entropy of the scalar field in the rotating black holes. As one approaches the stationary limit surface rather than the event horizon in comoving frame, those become divergent. Only when the field is comoving with the black hole (i.e. Ω0 = ΩH) those become divergent at the event horizon. In the Hartle-Hawking state the leading ...

Using “A” shares accessible only to local investors (who account for 99% of stock investors in China), this paper tests if short-horizon contrarian and intermediate-horizon investment strategies generate abnormal profits. We find statistically significant abnormal profits for both the arbitrage portfolio-investment strategies. Detailed analysis indicates that: (1) an absolute dominance of non-i...