Model predictive control for constrained systems with serially correlated stochastic parameters and portfolio optimization

DOI10.1016/J.AUTOMATICA.2015.02.021zbMATH Open1318.93099OpenAlexW1972139008MaRDI QIDQ490850FDOQ490850

Authors: Vladimir Dombrovskii, Tatyana Obyedko 

Publication date: 21 August 2015

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2015.02.021

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zbMATH Keywords

constraintsmodel predictive controlinvestment portfolioserially correlated parameters

Mathematics Subject Classification ID

Portfolio theory (91G10) Discrete-time control/observation systems (93C55) Stochastic systems in control theory (general) (93E03) Optimal stochastic control (93E20)

Cites Work

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• STOCHASTIC MODEL PREDICTIVE CONTROL AND PORTFOLIO OPTIMIZATION
• Model-Predictive Control of Discrete Hybrid Stochastic Automata
• Predictive control of systems with Markovian jumps under constraints and its application to the investment portfolio optimization
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Cited In (12)

• Model predictive control design for constrained Markov jump bilinear stochastic systems with an application in finance
• Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints
• On asymptotic log-optimal portfolio optimization
• Investment portfolio tracking using model predictive control
• Bayesian nonparametric portfolio selection with rolling maximum drawdown control
• Predictive control of random-parameter systems with multiplicative noise. Application to investment portfolio optimization
• Multiobjective dynamic optimization of investment portfolio based on model predictive control
• The application of model predictive control on stock portfolio optimization with prediction based on geometric Brownian motion-Kalman filter
• STOCHASTIC MODEL PREDICTIVE CONTROL AND PORTFOLIO OPTIMIZATION
• Model predictive control of systems with random dependent parameters under constraints and its application to the investment portfolio optimization
• Feedback predictive control strategies for investment in the financial market with serially correlated returns subject to constraints and trading costs
• Model predictive control of constrained Markovian jump nonlinear stochastic systems and portfolio optimization under market frictions

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