Predictive control of random-parameter systems with multiplicative noise. Application to investment portfolio optimization

DOI10.1007/S10513-005-0102-5MaRDI QIDQ2487576zbMATH OpenOpenAlexFDO

Authors 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

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 2064643 (Why is no real title available?)
• 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
• Model predictive control based on linear programming - the explicit solution
• Optimal Stabilization of Families of Linear Stochastic Differential Equations with Jump Coefficients and Multiplicative Noise

Cited in

(12)

• Indefinite quadratic with linear costs optimal control of Markov jump with multiplicative noise systems
• Locally optimal control for discrete time delay systems with interval parameters
• 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
• Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints
• Optimization of quasilinear stochastic control-nonlinear diffusion systems
• Predictive control of systems with Markovian jumps under constraints and its application to the investment portfolio optimization
• Generalized coupled algebraic Riccati equations for discrete-time Markov jump with multiplicative noise systems
• A linear quadratic control for discrete systems with random parameters and multiplicative noise and its application to investment portfolio optimization
• Quadratic and \(H_{\infty}\) switching control for discrete-time linear systems with multiplicative noises
• Model predictive control of systems with random dependent parameters under constraints and its application to the investment portfolio optimization
• The application of model predictive control on stock portfolio optimization with prediction based on geometric Brownian motion-Kalman filter

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