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
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- A model of financial market with several interacting assets. Complete market case
- 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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