Predictive control of random-parameter systems with multiplicative noise. Application to investment portfolio optimization
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Publication:2487576
DOI10.1007/S10513-005-0102-5zbMath1114.93099OpenAlexW2009383085MaRDI QIDQ2487576
D. V. Dombrovskii, E. A. Lyashenko, V. V. Dombrovskii
Publication date: 8 August 2005
Published in: Automation and Remote Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10513-005-0102-5
Related Items (9)
Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints ⋮ Locally Optimal Control for Discrete Time Delay Systems with Interval Parameters ⋮ Optimization of quasilinear stochastic control-nonlinear diffusion systems ⋮ Quadratic andH∞switching control for discrete-time linear systems with multiplicative noises ⋮ Indefinite quadratic with linear costs optimal control of Markov jump with multiplicative noise systems ⋮ Generalized coupled algebraic Riccati equations for discrete-time Markov jump with multiplicative noise systems ⋮ Predictive control of systems with Markovian jumps under constraints and its application to the investment portfolio optimization ⋮ Model predictive control for constrained systems with serially correlated stochastic parameters and portfolio optimization ⋮ MultiObjective Dynamic Optimization of Investment Portfolio Based on Model Predictive Control
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- Dynamic network model of managing investment portfolio under random stepwise changes in volatilities of financial assets
- Optimal Stabilization of Families of Linear Stochastic Differential Equations with Jump Coefficients and Multiplicative Noise
- Model predictive control based on linear programming - the explicit solution
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