Optimal performance fee and flow of funds in asset management contracts

This paper investigates the importance of ow of funds as an implicit incentive in the asset management industry. We build a two-period bi- nomial moral hazard model to explain the trade-o¤s between ow, per- formance and fees where e¤ort depends on the combination of implicit ( ow of funds) and explicit (performance fee) incentives. Two cases are considered. With full commitment, the investor s relevant trade-o¤ is to give up expected return in the second period vis-à-vis to induce e¤ort in the rst period. The more concerned the investor is with today s pay- o¤, the more willing he will be to give up expected return in the second period by penalizing negative excess return in the rst period. Without full commitment, the investor learns some symmetric and imperfect infor- mation about the ability of the manager to obtain positive excess return. In this case, observed returns reveal ability as well as e¤ort choices. We show that powerful implicit incentives may explain the ow-performance relationship with a numerical solution. Besides, risk aversion explains the complementarity between performance fee and ow of funds.

Optimal clone identifier based on dynamic rules and process algebra

The rule creation to clone selection in different projects is a hard task to perform by using traditional implementations to control all the processes of the system. The use of an algebraic language is an alternative approach to manage all of system flow in a flexible way. In order to increase the power of versatility and consistency in defining the rules for optimal clone selection, this paper presents the software OCI 2 in which uses process algebra in the flow behavior of the system. OCI 2, controlled by an algebraic approach was applied in the rules elaboration for clone selection containing unique genes in the partial genome of the bacterium Bradyrhizobium elkanii Semia 587 and in the whole genome of the bacterium Xanthomonas axonopodis pv. citri. Copyright© (2009) by the International Society for Research in Science and Technology.

Optimal phasor measurement units placement for fault location on overhead electric power distribution feeders

This paper proposes a new approach for optimal phasor measurement units placement for fault location on electric power distribution systems using Greedy Randomized Adaptive Search Procedure metaheuristic and Monte Carlo simulation. The optimized placement model herein proposed is a general methodology that can be used to place devices aiming to record the voltage sag magnitudes for any fault location algorithm that uses voltage information measured at a limited set of nodes along the feeder. An overhead, three-phase, three-wire, 13.8 kV, 134-node, real-life feeder model is used to evaluate the algorithm. Tests show that the results of the fault location methodology were improved thanks to the new optimized allocation of the meters pinpointed using this methodology. © 2011 IEEE.

Optimal allocation of distributed generators providing reactive power support ancillary service

Problems as voltage increase at the end of a feeder, demand supply unbalance in a fault condition, power quality decline, increase of power losses, and reduction of reliability levels may occur if Distributed Generators (DGs) are not properly allocated. For this reason, researchers have been employed several solution techniques to solve the problem of optimal allocation of DGs. This work is focused on the ancillary service of reactive power support provided by DGs. The main objective is to price this service by determining the costs in which a DG incurs when it loses sales opportunity of active power, i.e, by determining the Loss of Opportunity Costs (LOC). The LOC will be determined for different allocation alternatives of DGs as a result of a multi-objective optimization process, aiming the minimization of losses in the lines of the system and costs of active power generation from DGs, and the maximization of the static voltage stability margin of the system. The effectiveness of the proposed methodology in improving the goals outlined was demonstrated using the IEEE 34 bus distribution test feeder with two DGs cosidered to be allocated. © 2011 IEEE.

Optimal reactive power dispatch using stochastic chance-constrained programming

Deterministic Optimal Reactive Power Dispatch problem has been extensively studied, such that the demand power and the availability of shunt reactive power compensators are known and fixed. Give this background, a two-stage stochastic optimization model is first formulated under the presumption that the load demand can be modeled as specified random parameters. A second stochastic chance-constrained model is presented considering uncertainty on the demand and the equivalent availability of shunt reactive power compensators. Simulations on six-bus and 30-bus test systems are used to illustrate the validity and essential features of the proposed models. This simulations shows that the proposed models can prevent to the power system operator about of the deficit of reactive power in the power system and suggest that shunt reactive sourses must be dispatched against the unavailability of any reactive source. © 2012 IEEE.

Optimal Reactive Power Planning Using Risk Analysis

In this paper, the optimal reactive power planning problem under risk is presented. The classical mixed-integer nonlinear model for reactive power planning is expanded into two stage stochastic model considering risk. This new model considers uncertainty on the demand load. The risk is quantified by a factor introduced into the objective function and is identified as the variance of the random variables. Finally numerical results illustrate the performance of the proposed model, that is applied to IEEE 30-bus test system to determine optimal amount and location for reactive power expansion.

Switch allocation problems in power distribution systems

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Robust and optimal adjustment of Power System Stabilizers through Linear Matrix Inequalities

This work presents the application of Linear Matrix Inequalities to the robust and optimal adjustment of Power System Stabilizers with pre-defined structure. Results of some tests show that gain and zeros adjustments are sufficient to guarantee robust stability and performance with respect to various operating points. Making use of the flexible structure of LMI's, we propose an algorithm that minimizes the norm of the controllers gain matrix while it guarantees the damping factor specified for the closed loop system, always using a controller with flexible structure. The technique used here is the pole placement, whose objective is to place the poles of the closed loop system in a specific region of the complex plane. Results of tests with a nine-machine system are presented and discussed, in order to validate the algorithm proposed. (C) 2012 Elsevier Ltd. All rights reserved.

Essays On CEO Compensation: New Evidence On The Managerial-Power Vs. Optimal Contracting Debate

This dissertation analyzes the effect of market analysts’ expectations of share prices (price targets) on executive compensation. It examines how well the estimated effects of price targets on compensation fit with two competing views on determining executive compensation: the arm’s length bargaining model, which assumes that a board seeks to maximize shareholders’ interests, and the managerial power model, which assumes that a board seeks to maximize managers’ compensation (Bebchuk et al. 2005). The first chapter documents the pattern of CEO pay from fiscal year 1996 to 2010. The second chapter analyzes the Institutional Broker Estimate System Detail History Price Target data file, which that reports analysts’ price targets for firms. I show that the number of price target announcements is positively associated with company share price’s volatility, that price targets are predictive of changes in the value of stocks, and that when analysts announce positive (negative) expectations of future stock price, share prices change in the same direction in the short run. The third chapter analyzes the effect of price targets on executive compensation. I find that analysts' price targets alter the composition of executive pay between cash-based compensation and stock-based compensation. When analysts forecast a rise (fall) in the share price for a firm, the compensation package tilts toward stock-based (cash-based) compensation. The substitution effect is stronger in companies that have weaker corporate governance. The fourth chapter explores the effect of the introduction of the Sarbanes-Oxley Act (SOX) in 2002 and its reinforcement in 2006 on the options granting process. I show that the introduction of SOX and its reinforcement eliminated the practice of backdating options but increased “spring-loading” of option grants around price targets announcements. Overall, the dissertation shows that price targets provide insights into the determinants of executive pay in favor of the managerial power model.

Optimal current control for sub-unity power factor correction

Switching mode power supplies (SMPS) are subject to low power factor and high harmonic distortions. Active power-factor correction (APFC) is a technique to improve the power factor and to reduce the harmonic distortion of SMPSs. However, this technique results in double frequency output voltage variation which can be reduced by using a large output capacitance. Using large capacitors increases the cost and size of the converter. Furthermore, the capacitors are subject to frequent failures mainly caused by evaporation of the electrolytic solution which reduce the converter reliability. This thesis presents an optimal control method for the input current of a boost converter to reduce the size of the output capacitor. The optimum current waveform as a function of weighing factor is found by using the Euler Lagrange equation. A set of simulations are performed to determine the ideal weighing which gives the lowest possible output voltage variation as the converter still meets the IEC-61000-3-2 class-A harmonics requirements with a power factor of 0.8 or higher. The proposed method is verified by the experimental work. A boost converter is designed and it is run for different power levels, 100 W, 200 W and 400 W. The desired output voltage ripple is 10 V peak to peak for the output voltage of 200 Vdc. This ripple value corresponds to a ± 2.5% output voltage ripple. The experimental and the simulation results are found to be quite matching. A significant reduction in capacitor size, as high as 50%, is accomplished by using the proposed method.

Optimal game theoretic distributed control methodologies in small scale power systems

This dissertation presents the competitive control methodologies for small-scale power system (SSPS). A SSPS is a collection of sources and loads that shares a common network which can be isolated during terrestrial disturbances. Micro-grids, naval ship electric power systems (NSEPS), aircraft power systems and telecommunication system power systems are typical examples of SSPS. The analysis and development of control systems for small-scale power systems (SSPS) lacks a defined slack bus. In addition, a change of a load or source will influence the real time system parameters of the system. Therefore, the control system should provide the required flexibility, to ensure operation as a single aggregated system. In most of the cases of a SSPS the sources and loads must be equipped with power electronic interfaces which can be modeled as a dynamic controllable quantity. The mathematical formulation of the micro-grid is carried out with the help of game theory, optimal control and fundamental theory of electrical power systems. Then the micro-grid can be viewed as a dynamical multi-objective optimization problem with nonlinear objectives and variables. Basically detailed analysis was done with optimal solutions with regards to start up transient modeling, bus selection modeling and level of communication within the micro-grids. In each approach a detail mathematical model is formed to observe the system response. The differential game theoretic approach was also used for modeling and optimization of startup transients. The startup transient controller was implemented with open loop, PI and feedback control methodologies. Then the hardware implementation was carried out to validate the theoretical results. The proposed game theoretic controller shows higher performances over traditional the PI controller during startup. In addition, the optimal transient surface is necessary while implementing the feedback controller for startup transient. Further, the experimental results are in agreement with the theoretical simulation. The bus selection and team communication was modeled with discrete and continuous game theory models. Although players have multiple choices, this controller is capable of choosing the optimum bus. Next the team communication structures are able to optimize the players’ Nash equilibrium point. All mathematical models are based on the local information of the load or source. As a result, these models are the keys to developing accurate distributed controllers.

Optimal design of AC EMI filters with damping networks and effect on the systems power factor

The cutoff frequencies of an EMI filter are normally given by the noise attenuation requirements the filter has to fulfill. In order to select the component values of the filter elements, i.e. inductances and capacitances, an additional design criterium is needed. In this paper the effect of the EMI filter input and output impedances are considered. The input impedance influences the filters effect on the system displacement power factor and the output impedance plays a key role in the system stability. The effect of filter element values, the number of filter stages as well as additional damping networks are considered and a design procedure is provided. For this analysis a two-port description of the input filters employing ABCD-parameters is used.