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

DOI10.1016/J.AUTOMATICA.2015.02.021MaRDI QIDQ490850zbMATH OpenOpenAlexFDO

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

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)

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• Stochastic model predictive control of LPV systems via scenario optimization

Cited in

(12)

• Feedback predictive control strategies for investment in the financial market with serially correlated returns subject to constraints and trading costs
• Bayesian nonparametric portfolio selection with rolling maximum drawdown control
• 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
• Predictive control of random-parameter systems with multiplicative noise. Application to investment portfolio optimization
• Model predictive control of constrained Markovian jump nonlinear stochastic systems and portfolio optimization under market frictions
• Investment portfolio tracking using model predictive control
• On asymptotic log-optimal portfolio optimization
• Model predictive control of systems with random dependent parameters under constraints and its application to the investment portfolio optimization
• Model predictive control design for constrained Markov jump bilinear stochastic systems with an application in finance
• STOCHASTIC MODEL PREDICTIVE CONTROL AND 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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