Predictive control of systems with Markovian jumps under constraints and its application to the investment portfolio optimization (Q664261): Difference between revisions

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scientific article

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English	Predictive control of systems with Markovian jumps under constraints and its application to the investment portfolio optimization	scientific article

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scholarly article

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title

Predictive control of systems with Markovian jumps under constraints and its application to the investment portfolio optimization (English)

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Automation and Remote Control

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publication date

1 March 2012

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MaRDI profile type

MaRDI publication profile

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cites work

An application of hidden Markov models to asset allocation problems

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Dynamic network model of managing investment portfolio under random stepwise changes in volatilities of financial assets

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Dynamic control of the investment portfolio in the jump-diffusion financial market with regime switching

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Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits

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Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates

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Generalized coupled algebraic Riccati equations for discrete-time Markov jump with multiplicative noise systems

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Preliminary distribution analysis for the states of special control systems with random structure

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Optimal state filtering of controllable systems with random structure

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Robust stabilization of random-structure systems via switchable static output feedback

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Q4323296

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The Linear Quadratic Optimization Problems for a Class of Linear Stochastic Systems With Multiplicative White Noise and Markovian Jumping

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Constrained model predictive control: Stability and optimality

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Model predictive control based on linear programming - the explicit solution

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The explicit linear quadratic regulator for constrained systems

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An improved approach for constrained robust model predictive control

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Predictive control of random-parameter systems with multiplicative noise. Application to investment portfolio optimization

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Model predictive control of systems with random dependent parameters under constraints and its application to the investment portfolio optimization

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Products of trees for investment analysis

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full work available at URL

https://doi.org/10.1134/s0005117911050079

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Identifiers

zbMATH Open document ID

1235.93259

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DOI

10.1134/S0005117911050079

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:664261

@@ Property / cites work @@
+An application of hidden Markov models to asset allocation problems
+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 @@
+Dynamic control of the investment portfolio in the jump-diffusion financial market with regime switching
+Normal rank
@@ Property / cites work @@
+Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
+Normal rank
@@ Property / cites work @@
+Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
+Normal rank
@@ Property / cites work @@
+Generalized coupled algebraic Riccati equations for discrete-time Markov jump with multiplicative noise systems
+Normal rank
@@ Property / cites work @@
+Preliminary distribution analysis for the states of special control systems with random structure
+Normal rank
@@ Property / cites work @@
+Optimal state filtering of controllable systems with random structure
+Normal rank
@@ Property / cites work @@
+Robust stabilization of random-structure systems via switchable static output feedback
+Normal rank
@@ Property / cites work @@
+Q4323296
@@ Property / cites work: Q4323296 / rank @@
+Normal rank
@@ Property / cites work @@
+The Linear Quadratic Optimization Problems for a Class of Linear Stochastic Systems With Multiplicative White Noise and Markovian Jumping
+Normal rank
@@ Property / cites work @@
+Constrained model predictive control: Stability and optimality
+Normal rank
@@ Property / cites work @@
+Model predictive control based on linear programming - the explicit solution
+Normal rank
@@ Property / cites work @@
+The explicit linear quadratic regulator for constrained systems
+Normal rank
@@ Property / cites work @@
+An improved approach for constrained robust model predictive control
+Normal rank
@@ Property / cites work @@
+Predictive control of random-parameter systems with multiplicative noise. Application to investment portfolio optimization
+Normal rank
@@ Property / cites work @@
+Model predictive control of systems with random dependent parameters under constraints and its application to the investment portfolio optimization
+Normal rank
@@ Property / cites work @@
+Products of trees for investment analysis
@@ Property / cites work: Products of trees for investment analysis / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1134/s0005117911050079
+Normal rank
@@ Property / OpenAlex ID @@
+W1989603723
@@ Property / OpenAlex ID: W1989603723 / rank @@
+Normal rank