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

DOI10.1134/S0005117911050079zbMath1235.93259OpenAlexW1989603723MaRDI QIDQ664261

T. Yu. Obedko, V. V. Dombrovskii

Publication date: 1 March 2012

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0005117911050079

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of mathematical programming (90C90) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items

Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints ⋮ Model Predictive Control for Discrete-Time Linear Systems with Time Delays and Unknown Input ⋮ Model predictive control for constrained systems with serially correlated stochastic parameters and portfolio optimization ⋮ Model predictive control of constrained Markovian jump nonlinear stochastic systems and portfolio optimization under market frictions ⋮ Sparse mean-variance customer Markowitz portfolio optimization for Markov chains: a Tikhonov's regularization penalty approach

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