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Showing 1 to 6 of 6 for “"Affine models"”.
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Robustness of bond portfolio optimisation
… selection by proposing the use of term structure models to estimate the time-varying moments of bond returns. Duffee (2002) introduces a distinction between completely affine and essentially affine term structure models. A completely affine model uses a market price of risk specification that is …
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Estimating and Forecasting the Term Structure of Interest Rates:US and Colombia Analysis
In this paper we use the most representative models that exist in the literature on term structure of interest rates. In particular, we explore affine one factor models and polynomial-type approximations such as Nelson and Siegel. Our empirical application considers monthly data of USA and Colombia …
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Approximate Explicit MPC and Closed-loop Stability: Analysis based on PWA Lyapunov Functions
… ics, the class of the hybrid and piecewise affine models (PWA) were introduced and tackled by the explicit MPC strategy. However, the resulting controller complexity leads to a requirement on the CPU/memory combination which is as strict as the number of states, inputs and outputs increases. …
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ONLINE LEARNING AND ITS APPLICATIONS IN ELECTRICITY MARKETS
… learning and optimization of unknown Markov jump affine models which is motivated by the dynamic pricing problem of an electricity retailer. An online learning policy, referred to as Markovian simultaneous perturbations stochastic approximation (MSPSA), is proposed for two different optimization …