STOCHASTIC MODEL PREDICTIVE CONTROL AND PORTFOLIO OPTIMIZATION (Q5292276): Difference between revisions

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+Shortfall as a risk measure: properties, optimization and applications
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+Risk sensitive asset allocation
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+Bounds on the Expectation of a Convex Function of a Random Variable: With Applications to Stochastic Programming
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+Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games
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+Constrained model predictive control: Stability and optimality
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