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AUTOMATICA
2010
14 years 8 months ago
2010
This paper analyzes competition between mutual funds in a multiple funds version of the model of Hugonnier and Kaniel [17]. We characterize the set of equilibria for this portfoli...
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AUTOMATICA
2008
14 years 9 months ago
2008
This paper introduces a financial hedging model for global environment risks. Our approach is based on portfolio insurance under hedging constraints. Investors are assumed to maxi...
AUTOMATICA
2010
14 years 8 months ago
2010
Finite-time optimal control problems with quadratic performance index for linear systems with linear constraints can be transformed into Quadratic Programs (QPs). Model Predictive ...
AUTOMATICA
2007
14 years 9 months ago
2007
The sensor scheduling problem can be formulated as a controlled hidden Markov model and this paper solves the problem when the state, observation and action spaces are continuous....
AUTOMATICA
2007
14 years 9 months ago
2007
This paper extends previous work on joint input and state estimation to systems with direct feedthrough of the unknown input to the output. Using linear minimum-variance unbiased ...