Matching Items (3)
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- All Subjects: Economics, Finance
- All Subjects: multi model adaptive control
- Creators: Rodriguez, Armando
Description
One necessary condition for the two-pass risk premium estimator to be consistent and asymptotically normal is that the rank of the beta matrix in a proposed linear asset pricing model is full column. I first investigate the asymptotic properties of the risk premium estimators and the related t-test and Wald test statistics when the full rank condition fails. I show that the beta risk of useless factors or multiple proxy factors for a true factor are priced more often than they should be at the nominal size in the asset pricing models omitting some true factors. While under the null hypothesis that the risk premiums of the true factors are equal to zero, the beta risk of the true factors are priced less often than the nominal size. The simulation results are consistent with the theoretical findings. Hence, the factor selection in a proposed factor model should not be made solely based on their estimated risk premiums. In response to this problem, I propose an alternative estimation of the underlying factor structure. Specifically, I propose to use the linear combination of factors weighted by the eigenvectors of the inner product of estimated beta matrix. I further propose a new method to estimate the rank of the beta matrix in a factor model. For this method, the idiosyncratic components of asset returns are allowed to be correlated both over different cross-sectional units and over different time periods. The estimator I propose is easy to use because it is computed with the eigenvalues of the inner product of an estimated beta matrix. Simulation results show that the proposed method works well even in small samples. The analysis of US individual stock returns suggests that there are six common risk factors in US individual stock returns among the thirteen factor candidates used. The analysis of portfolio returns reveals that the estimated number of common factors changes depending on how the portfolios are constructed. The number of risk sources found from the analysis of portfolio returns is generally smaller than the number found in individual stock returns.
ContributorsWang, Na (Author) / Ahn, Seung C. (Thesis advisor) / Kallberg, Jarl G. (Committee member) / Liu, Crocker H. (Committee member) / Arizona State University (Publisher)
Created2011
Description
Microbial fuel cells(MFC) use micro-organisms called anode-respiring bacteria(ARB) to convert chemical energy into electrical energy. This process can not only treat wastewater but can also produce useful byproduct hydrogen peroxide(H2O2). Process variables like anode potential and pH play important role in the MFC operation and the focus of this dissertation are pH and potential control problems.
Most of the adaptive pH control solutions use signal-based-norms as cost functions, but their strong dependency on excitation signal properties makes them sensitive to noise, disturbances, and modeling errors. System-based-norm( H-infinity) cost functions provide a viable alternative for the adaptation as they are less susceptible to the signal properties. Two variants of adaptive pH control algorithms that use approximate H-infinity frequency loop-shaping (FLS) cost metrics are proposed in this dissertation.
A pH neutralization process with high retention time is studied using lab scale experiments and the experimental setup is used as a basis to develop a first-principles model. The analysis of such a model shows that only the gain of the process varies significantly with operating conditions and with buffering capacity. Consequently, the adaptation of the controller gain (single parameter) is sufficient to compensate for the variation in process gain and the focus of the proposed algorithms is the adaptation of the PI controller gain. Computer simulations and lab-scale experiments are used to study tracking, disturbance rejection and adaptation performance of these algorithms under different excitation conditions. Results show the proposed algorithm produces optimum that is less dependent on the excitation as compared to a commonly used L2 cost function based algorithm and tracks set-points reasonably well under practical conditions. The proposed direct pH control algorithm is integrated with the combined activated sludge anaerobic digestion model (CASADM) of an MFC and it is shown pH control improves its performance.
Analytical grade potentiostats are commonly used in MFC potential control, but, their high cost (>$6000) and large size, make them nonviable for the field usage. This dissertation proposes an alternate low-cost($200) portable potentiostat solution. This potentiostat is tested using a ferricyanide reactor and results show it produces performance close to an analytical grade potentiostat.
Most of the adaptive pH control solutions use signal-based-norms as cost functions, but their strong dependency on excitation signal properties makes them sensitive to noise, disturbances, and modeling errors. System-based-norm( H-infinity) cost functions provide a viable alternative for the adaptation as they are less susceptible to the signal properties. Two variants of adaptive pH control algorithms that use approximate H-infinity frequency loop-shaping (FLS) cost metrics are proposed in this dissertation.
A pH neutralization process with high retention time is studied using lab scale experiments and the experimental setup is used as a basis to develop a first-principles model. The analysis of such a model shows that only the gain of the process varies significantly with operating conditions and with buffering capacity. Consequently, the adaptation of the controller gain (single parameter) is sufficient to compensate for the variation in process gain and the focus of the proposed algorithms is the adaptation of the PI controller gain. Computer simulations and lab-scale experiments are used to study tracking, disturbance rejection and adaptation performance of these algorithms under different excitation conditions. Results show the proposed algorithm produces optimum that is less dependent on the excitation as compared to a commonly used L2 cost function based algorithm and tracks set-points reasonably well under practical conditions. The proposed direct pH control algorithm is integrated with the combined activated sludge anaerobic digestion model (CASADM) of an MFC and it is shown pH control improves its performance.
Analytical grade potentiostats are commonly used in MFC potential control, but, their high cost (>$6000) and large size, make them nonviable for the field usage. This dissertation proposes an alternate low-cost($200) portable potentiostat solution. This potentiostat is tested using a ferricyanide reactor and results show it produces performance close to an analytical grade potentiostat.
ContributorsJoshi, Rakesh (Author) / Tsakalis, Konstantinos (Thesis advisor) / Rodriguez, Armando (Committee member) / Torres, Cesar (Committee member) / Spanias, Andreas (Committee member) / Arizona State University (Publisher)
Created2018
Description
A systematic top down approach to minimize risk and maximize the profits of an investment over a given period of time is proposed. Macroeconomic factors such as Gross Domestic Product (GDP), Consumer Price Index (CPI), Outstanding Consumer Credit, Industrial Production Index, Money Supply (MS), Unemployment Rate, and Ten-Year Treasury are used to predict/estimate asset (sector ETF`s) returns. Fundamental ratios of individual stocks are used to predict the stock returns. An a priori known cash-flow sequence is assumed available for investment. Given the importance of sector performance on stock performance, sector based Exchange Traded Funds (ETFs) for the S&P; and Dow Jones are considered and wealth is allocated. Mean variance optimization with risk and return constraints are used to distribute the wealth in individual sectors among the selected stocks. The results presented should be viewed as providing an outer control/decision loop generating sector target allocations that will ultimately drive an inner control/decision loop focusing on stock selection. Receding horizon control (RHC) ideas are exploited to pose and solve two relevant constrained optimization problems. First, the classic problem of wealth maximization subject to risk constraints (as measured by a metric on the covariance matrices) is considered. Special consideration is given to an optimization problem that attempts to minimize the peak risk over the prediction horizon, while trying to track a wealth objective. It is concluded that this approach may be particularly beneficial during downturns - appreciably limiting downside during downturns while providing most of the upside during upturns. Investment in stocks during upturns and in sector ETF`s during downturns is profitable.
ContributorsChitturi, Divakar (Author) / Rodriguez, Armando (Thesis advisor) / Tsakalis, Konstantinos S (Committee member) / Si, Jennie (Committee member) / Arizona State University (Publisher)
Created2010