Investment portfolio tracking using model predictive control

DOI10.1002/OCA.2937MaRDI QIDQ6054512zbMATH OpenFDO

Authors Maisa Kely de Melo

Publication date 25 October 2023

Published in Optimal Control Applications \& Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/OCA.2937

zbMATH Keywords

model predictive controloptimal controlportfolio selectionportfolio tracking

Mathematics Subject Classification ID

Portfolio theory (91G10) Model predictive control (93B45)

Recommendations

• Multiobjective dynamic optimization of investment portfolio based on model predictive control
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• STOCHASTIC MODEL PREDICTIVE CONTROL AND PORTFOLIO OPTIMIZATION
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Cites work

• Approximating exact expected utility via portfolio efficient frontiers
• Constrained model predictive control: Stability and optimality
• Dynamic option hedging with transaction costs: A stochastic model predictive control approach
• Feedback predictive control strategies for investment in the financial market with serially correlated returns subject to constraints and trading costs
• Model predictive control for constrained systems with serially correlated stochastic parameters and portfolio optimization
• Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints
• Model predictive control of constrained Markovian jump nonlinear stochastic systems and portfolio optimization under market frictions
• Optimal portfolio selection and dynamic benchmark tracking
• Outperformance and tracking: dynamic asset allocation for active and passive portfolio management
• Robust portfolio selection for index tracking
• STOCHASTIC MODEL PREDICTIVE CONTROL AND PORTFOLIO OPTIMIZATION

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