Design of model predictive control for constrained Markov jump linear systems with multiplicative noises and online portfolio selection (Q3300432)
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scientific article; zbMATH DE number 7225582
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| English | Design of model predictive control for constrained Markov jump linear systems with multiplicative noises and online portfolio selection |
scientific article; zbMATH DE number 7225582 |
Statements
Design of model predictive control for constrained Markov jump linear systems with multiplicative noises and online portfolio selection (English)
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29 July 2020
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market frictions
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Markov jump stochastic systems
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model predictive control
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portfolio selection
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transaction costs
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0.8896885514259338
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0.8852035999298096
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0.8717880249023438
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0.8338786959648132
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0.8229997158050537
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