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Results 1 - 10
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2,695
The Determinants of Credit Spread Changes.
- Journal of Finance
, 2001
"... ABSTRACT Using dealer's quotes and transactions prices on straight industrial bonds, we investigate the determinants of credit spread changes. Variables that should in theory determine credit spread changes have rather limited explanatory power. Further, the residuals from this regression are ..."
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Cited by 422 (2 self)
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changes are determined by changes in these state variables. Hence, structural models generate predictions for what the theoretical determinants of credit spread changes should be, and moreover offer a prediction for whether changes in these variables should be positively or negatively correlated
The Asymptotic Elasticity of Utility Functions and Optimal Investment in Incomplete Markets
- Annals of Applied Probability
, 1997
"... . The paper studies the problem of maximizing the expected utility of terminal wealth in the framework of a general incomplete semimartingale model of a financial market. We show that the necessary and sufficient condition on a utility function for the validity of several key assertions of the theor ..."
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Cited by 264 (19 self)
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wealth. In the framework of a continuous-time model the problem was studied for the first time by R. Merton in two seminal papers [27] and [28] (see also [29] as well as [32] for a treatment of the discrete time case). Using the methods of stochastic optimal control Merton derived a non-linear partial
Economic model predictive control with self-tuning terminal cost,
- European Journal of Control
, 2013
"... Abstract In this paper, we analyze the closed-loop performance of a recently introduced economic model predictive control (MPC) scheme with self-tuning terminal cost. To this end, we propose to use a generalized terminal region constraint instead of a generalized terminal equality constraint within ..."
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Cited by 6 (2 self)
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Abstract In this paper, we analyze the closed-loop performance of a recently introduced economic model predictive control (MPC) scheme with self-tuning terminal cost. To this end, we propose to use a generalized terminal region constraint instead of a generalized terminal equality constraint
Near-optimal sensor placements: Maximizing information while minimizing communication cost
- In IPSN
, 2006
"... When monitoring spatial phenomena with wireless sensor networks, selecting the best sensor placements is a fundamental task. Not only should the sensors be informative, but they should also be able to communicate efficiently. In this paper, we present a data-driven approach that addresses the three ..."
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Cited by 152 (19 self)
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central aspects of this problem: measuring the predictive quality of a set of sensor locations (regardless of whether sensors were ever placed at these locations), predicting the communication cost involved with these placements, and designing an algorithm with provable quality guarantees that optimizes
New Methods for Computing the Terminal Cost for Min-max Model Predictive Control
"... Abstract — The aim of this paper is to provide new techniques for computing a terminal cost and a local state-feedback control law that satisfy recently developed min-max MPC input-to-state stabilization conditions. Min-max MPC algorithms based on both quadratic and 1-norms or ∞-norms costs are cons ..."
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Cited by 1 (0 self)
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Abstract — The aim of this paper is to provide new techniques for computing a terminal cost and a local state-feedback control law that satisfy recently developed min-max MPC input-to-state stabilization conditions. Min-max MPC algorithms based on both quadratic and 1-norms or ∞-norms costs
Measuring social interactions
, 1999
"... This paper presents on overview of the economics that lies behind social interaction models and briefly discusses the empirical approaches to social interactions. We present a simple model with local interactions, similar to Glaeser, Sacerdote and Scheinkman (1996) but using a continuous action spac ..."
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Cited by 183 (7 self)
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This paper presents on overview of the economics that lies behind social interaction models and briefly discusses the empirical approaches to social interactions. We present a simple model with local interactions, similar to Glaeser, Sacerdote and Scheinkman (1996) but using a continuous action
Optimal residential load control with price prediction in real-time electricity pricing environments
- IEEE Trans. on Smart Grid
, 2010
"... Abstract—Real-time electricity pricing models can potentially lead to economic and environmental advantages compared to the current common flat rates. In particular, they can provide end users with the opportunity to reduce their electricity expenditures by responding to pricing that varies with dif ..."
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Cited by 139 (12 self)
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Abstract—Real-time electricity pricing models can potentially lead to economic and environmental advantages compared to the current common flat rates. In particular, they can provide end users with the opportunity to reduce their electricity expenditures by responding to pricing that varies
Asset pricing at the millennium
- Journal of Finance
"... This paper surveys the field of asset pricing. The emphasis is on the interplay between theory and empirical work and on the trade-off between risk and return. Modern research seeks to understand the behavior of the stochastic discount factor ~SDF! that prices all assets in the economy. The behavior ..."
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Cited by 189 (0 self)
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stimulated new research on optimal portfolio choice, intertemporal equilibrium models, and behavioral finance. This paper surveys the field of asset pricing. The emphasis is on the interplay between theory and empirical work. Theorists develop models with testable predictions; empirical researchers document
Toward the Optimal Preconditioned Eigensolver: Locally Optimal Block Preconditioned Conjugate Gradient Method
- SIAM J. Sci. Comput
, 2001
"... We describe new algorithms of the locally optimal block preconditioned conjugate gradient (LOBPCG) method for symmetric eigenvalue problems, based on a local optimization of a three-term recurrence, and suggest several other new methods. To be able to compare numerically different methods in the cla ..."
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Cited by 139 (19 self)
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We describe new algorithms of the locally optimal block preconditioned conjugate gradient (LOBPCG) method for symmetric eigenvalue problems, based on a local optimization of a three-term recurrence, and suggest several other new methods. To be able to compare numerically different methods
Query Optimization for Parallel Execution
, 1992
"... The decreasing cost of computing makes it economically viable to reduce the response time of decision support queries by using parallel execution to exploit inexpen-sive resources. This goal poses the following query op-timization problem: Mzntmzze response ttme subject to constraints on throughput, ..."
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Cited by 134 (8 self)
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of parallelism in the traditional execution space. We show that a cost model can predict response time while accounting for the new aspects due to parallelism, We observe that the response time optimization metric violates a fundamen-tal assumption in the dynamic programming algorithm that is the linchpin
Results 1 - 10
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2,695
