Predictive control of random-parameter systems with multiplicative noise. Application to investment portfolio optimization (Q2487576): Difference between revisions

@@ Property / author @@
+V. V. Dombrovskii
@@ Property / author: V. V. Dombrovskii / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10513-005-0102-5
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@@ Property / OpenAlex ID @@
+W2009383085
@@ Property / OpenAlex ID: W2009383085 / rank @@
+Normal rank
@@ Property / cites work @@
+Model predictive control based on linear programming - the explicit solution
+Normal rank
@@ Property / cites work @@
+Q4462135
@@ Property / cites work: Q4462135 / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic network model of managing investment portfolio under random stepwise changes in volatilities of financial assets
+Normal rank
@@ Property / cites work @@
+A model of financial market with several interacting assets. Complete market case
+Normal rank
@@ Property / cites work @@
+Optimal Stabilization of Families of Linear Stochastic Differential Equations with Jump Coefficients and Multiplicative Noise
+Normal rank