Dynamic network model of managing investment portfolio under random stepwise changes in volatilities of financial assets

DOI10.1023/A:1024730101068zbMATH Open1115.91329OpenAlexW1597086953MaRDI QIDQ2487619FDOQ2487619

Authors: E. S. Gerasimov, 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/10.1023/a:1024730101068

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Mathematics Subject Classification ID

Deterministic network models in operations research (90B10) Stochastic analysis (60H99)

Cited In (8)

• Model predictive control design for constrained Markov jump bilinear stochastic systems with an application in finance
• Adaptive investment strategies for different scenarios.
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• About one way of mathematical model management of investment portfolio investigation
• Title not available (Why is that?)
• Dynamic network model of investment control for quadratic risk function
• Predictive control of systems with Markovian jumps under constraints and its application to the investment portfolio optimization
• Model predictive control of constrained Markovian jump nonlinear stochastic systems and portfolio optimization under market frictions

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