A 2D model for the study of equilibrium glide paths of UiS Subsea Freight-Glider

A planar mathematical model for the analysis of equilibrium glide paths of the UiS subsea freight-glider (USFG) is presented. The model is developed using Simscape Multibody in MATLAB/Simulink to study the ever-changing dynamics of the glider. Motion along the heave and pitch direction is regulated by two separate PID controllers. Controllers are tuned for the optimal bandwidth and phase margin to provide the system with ideal gains which satisfy the system requirements. A wide-ranging sensitivity investigation is carried out on the USFG by changing the two key variables, pump flow rate and ballast fraction. The results reflect the advantages of using higher flow capacity and ballast fraction, which should be preferred according to the application, provided if there are no space and weight restrictions. Finally, different glide paths were simulated to observe that, controller gains obtained from the linear model can be improved to acquire better performance in terms of robustness and stability of the system.

Research on Aircraft Surface Taxi Path Planning and Conflict Detection and Resolution

Aircraft surface taxiing conflict avoidance is mostly adopted by waiting and rerouting methods, but this method does not consider the difference in total taxiing time that may be caused by different strategies. In this study, the airport taxiing path optimization model and taxiing area division model are constructed first. Then, the taxiway use is controlled by subregion based on the analysis of the surface activity area connection relationship. Based on the results of aircraft surface taxiway preselection, the time window of the taxiing area is solved and conflict detection is performed. For aircraft with taxiing conflicts, waiting or changing paths is selected to deconflict taxiing by comparing priorities. An improved A∗ algorithm solution is applied to generate conflict-free glide paths and new glide trajectory occupancy time windows, while the glide paths of aircraft without glide conflicts are not affected. The results of the study show that the use of time windows for conflict detection and deconfliction can further reduce the total taxiing time of aircraft operating on the surface, resulting in a significant reduction in the number of aircraft conflicts, and thus, airport operational safety is ensured. This study has a high practical value and is expected to be applied in the real-time control decision of aircraft taxiing in the future.

Glide paths for a retirement plan with deferred annuities

We construct investment glide paths for a retirement plan using both traditional asset classes and deferred annuities (DAs). The glide paths are approximated by averaging the asset proportions of stochastic optimal investment solutions. The objective function consists of power utility in terms of secured retirement income from purchased DAs, as well as a bequest that can be withdrawn before retirement. Compared with conventional glide paths and investment strategies, our DA-enhanced glide paths provide the investor with higher welfare gains, more efficient investment portfolios and more responsive retirement income patterns and bequest levels to different fee structures and personal preferences.

Multistage allocation problem for Mexican pension funds

The problem of multistage allocation is solved using the Target Date Fund (TDF) strategy subject to a set of restrictions which model the latest regulatory framework of the Mexican pension system. The investment trajectory or glide-path for a representative set of 14 assets of heterogeneous characteristics is studied during a 161 quarters long horizon. The expected returns are estimated by the GARCH(1,1), EGARCH(1,1), GJR-GARCH(1,1) models, and a stationary block bootstrap model is used as a benchmark for comparison. A fixed historical covariance matrix and a multi-period estimation of DCC-GARCH(1,1) are also considered as inputs of the objective function. Forecasts are evaluated through their asymmetric dependencies as quantified by the transfer entropy measure. In general, we find very similar glide-paths so that the overall structure of the investment is maintained and does not rely on the particular forecasting model. However, the GARCH(1,1) under a fixed historical covariance matrix exhibits the highest Sharpe ratio and in this sense represents the best trade-off between wealth and risk. As expected, the initial stages of the obtained glide-paths are initially dominated by risky assets and gradually transition into bonds towards the end oof the trajectory. Overall, the methodology proposed here is computationally efficient and displays the desired properties of a TDF strategy in realistic settings.

DYNAMIC ASSET ALLOCATION FOR TARGET DATE FUNDS UNDER THE BENCHMARK APPROACH

ABSTRACT Target date funds (TDFs) are becoming increasingly popular investment choices among investors with long-term prospects. Examples include members of superannuation funds seeking to save for retirement at a given age. TDFs provide efficient risk exposures to a diversified range of asset classes that dynamically match the risk profile of the investment payoff as the investors age. This is often achieved by making increasingly conservative asset allocations over time as the retirement date approaches. Such dynamically evolving allocation strategies for TDFs are often referred to as glide paths. We propose a systematic approach to the design of optimal TDF glide paths implied by retirement dates and risk preferences and construct the corresponding dynamic asset allocation strategy that delivers the optimal payoffs at minimal costs. The TDF strategies we propose are dynamic portfolios consisting of units of the growth-optimal portfolio (GP) and the risk-free asset. Here, the GP is often approximated by a well-diversified index of multiple risky assets. We backtest the TDF strategies with the historical returns of the S&P500 total return index serving as the GP approximation.

Glide Paths Based on a Retirement Goal and Depleting Human Capital

The retirement goals of many Americans are underfunded. The problem is compounded by the complexity of self-managing distribution portfolios, particularly as DC plans replace DB plans. We believe most retirement glide paths are satisfactory but suboptimal solutions. We introduce a glide path of financial assets over the life cycle based on a retirement goal and depleting human capital. The method is anchored to the foundational principles of intertemporal portfolio theory while borrowing heavily from goals-based asset allocation. The result is a dynamic asset allocation over the life cycle that is a function of critical input variables relevant to retirement planning such as retirement savings, retirement consumption and risk aversion. The glide path can be customized to individuals, or semi-customized to discrete subpopulations of DC plan participants.