摘要:

The theory of dynamic portfolio behaviour is evaluated by estimating and comparing the relative efficiency of alternative mutual fund portfolios by means of stochastic dominance and co-integration tests. Varying market conditions such as bullish and bearish markets and volatility of temporal return variances are found to play a major role in the return generating process. Thus the risk-return relationship is found to be highly asymmetrical and some groups of mutual funds tend to outperform the others.

ISSN:0020-7721    

DOI:10.1080/00207729308949617

出版商:Taylor & Francis Group    

年代:1993

数据来源: Taylor

摘要:

Recent methods of data envelopment analysis (DEA) deal mostly with static input-output systems. For dynamic systems with both current and capital inputs, the measurement of efficiency poses new problems due to intemporal effects. Some control-theoretic methods are discussed here by way of generalizing the static framework of data envelopment analysis in terms of dynamic multipliers and stochastic parameters. The dual problems of control and state estimation are analysed in their dynamic aspects, which show the myopic nature of measuring efficiency in a static version of the DEA model.

ISSN:0020-7721    

DOI:10.1080/00207729308949618

出版商:Taylor & Francis Group    

年代:1993

数据来源: Taylor

摘要:

Several sufficient conditions which guarantee robust stability of uncertain time-delay systems under dynamic output feedback with a class of series nonlinearities are derived in the time domain. Each of these results is expressed by a succinct delay-dependent scalar inequality and corresponds to a certain extent to the trade-off between simplicity and sharpness.

ISSN:0020-7721    

DOI:10.1080/00207729308949619

出版商:Taylor & Francis Group    

年代:1993

数据来源: Taylor

摘要:

A mathematical model of a rotary cement kiln is presented. Available real data are very limited and also contaminated with considerable noise and disturbance. For detrending the data, two approaches are applied. In the first approach, a low pass digital filter is used to remove the low frequency components of the signal. In the second approach, an integrated random walk model is used. Autoregressive models are constructed on the basis of the detrended data obtained by the respective approaches. The results of these two models are compared by simulating the step responses.

ISSN:0020-7721    

DOI:10.1080/00207729308949620

出版商:Taylor & Francis Group    

年代:1993

数据来源: Taylor

摘要:

A resonant inverter in a feedback mode of operation behaving as a limit-cycle oscillator similar to the Rayleigh and Van der Pol oscillators is discussed. The mathematical representation of the inverter is also closely similar to that of the latter oscillators. This enables an illustrative phenomenological treatment of the inverter dynamic features and assists with the supportive numerical simulation.

ISSN:0020-7721    

DOI:10.1080/00207729308949621

出版商:Taylor & Francis Group    

年代:1993

数据来源: Taylor

摘要:

The purpose of this comment is to point out a fundamental error in the paper mentioned above and demonstrate the error by a counter-example.

ISSN:0020-7721    

DOI:10.1080/00207729308949622

出版商:Taylor & Francis Group    

年代:1993

数据来源: Taylor