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...

This paper introduces a new approach to reduce the computational load of nonlinear model based predictive controllers. The idea is based on dividing a long prediction horizon into only a few equidistant intervals with piecewise constant control signals. After solving a first dynamic optimization problem the prediction horizon is halved, keeping the second half of the solution fixed and doubling...

In this article, we consider a receding horizon control of discrete-time state-dependent jump linear systems, particular kind of stochastic switching systems, subject to possibly unbounded random disturbances and probabilistic state constraints. Due to a nature of the dynamical system and the constraints, we consider a one-step receding horizon. Using inverse cumulative distribution function, w...

This paper examines the predictability of real estate asset returns using a number of time series techniques. A vector autoregressive model, which incorporates financial spreads, is able to improve upon the out of sample forecasting performance of univariate time series models at a short forecasting horizon. However, as the forecasting horizon increases, the explanatory power of such models is ...

Modelling A model was used to combine the available clinical and cost data with the patient population survival data in order to estimate the cost-effectiveness of the treatment options. On account of the limited time horizon of the trials, data were extrapolated to reflect the long-term cost-effectiveness of the interventions. The consequences of the intervention were modelled for both a short...

In this paper the long-term scheduling of a real world multi-product single stage continuous process for manufacturing glass is studied. This process features long minimum run lengths, and sequence dependent changeovers of the order of days, with high transition costs. The long-term scheduling involves extended time horizons that lead to large scale mixed integer linear programming (MILP) sched...

A Hamiltonian framework is introduced to encompass non-rotating (but possibly charged) black holes that are “isolated” near future time-like infinity or for a finite time interval. The underlying space-times need not admit a stationary Killing field even in a neighborhood of the horizon; rather, the physical assumption is that neither matter fields nor gravitational radiation fall across the po...

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...