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

DOI10.1023/A:1024730101068zbMath1115.91329OpenAlexW1597086953MaRDI QIDQ2487619

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

Mathematics Subject Classification ID

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

Related Items (4)

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 ⋮ Predictive control of random-parameter systems with multiplicative noise. Application to investment portfolio optimization ⋮ Model predictive control design for constrained Markov jump bilinear stochastic systems with an application in finance

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