Model predictive control of systems with random dependent parameters under constraints and its application to the investment portfolio optimization (Q885779): Difference between revisions

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scientific article

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

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instance of

scholarly article

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title

Model predictive control of systems with random dependent parameters 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

14 June 2007

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describes a project that uses

FinTS

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MaRDI profile type

MaRDI publication profile

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cites work

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

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Q4739659

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Consumption-investment problems with transaction costs: Survey and open problems

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Products of trees for investment analysis

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Q4794152

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Dynamic Asset Allocation in a Mean-Variance Framework

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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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Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection

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Risk-sensitive dynamic asset management

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Q4779802

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Identifiers

zbMATH Open document ID

1194.93209

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DOI

10.1134/S000511790612006X

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:885779

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+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 @@
+Model predictive control of systems with random dependent parameters under constraints and its application to the investment portfolio optimization
+Normal rank
@@ Property / cites work @@
+Q4739659
@@ Property / cites work: Q4739659 / rank @@
+Normal rank
@@ Property / cites work @@
+Consumption-investment problems with transaction costs: Survey and open problems
+Normal rank
@@ Property / cites work @@
+Products of trees for investment analysis
@@ Property / cites work: Products of trees for investment analysis / rank @@
+Normal rank
@@ Property / cites work @@
+Q4794152
@@ Property / cites work: Q4794152 / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic Asset Allocation in a Mean-Variance Framework
+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 @@
+Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection
+Normal rank
@@ Property / cites work @@
+Risk-sensitive dynamic asset management
@@ Property / cites work: Risk-sensitive dynamic asset management / rank @@
+Normal rank
@@ Property / cites work @@
+Q4779802
@@ Property / cites work: Q4779802 / rank @@
+Normal rank