Multiobjective dynamic optimization of investment portfolio based on model predictive control
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Publication:5020745
DOI10.1137/20M1346420zbMATH Open1480.91265OpenAlexW4205569378MaRDI QIDQ5020745FDOQ5020745
Authors: Maisa Kely de Melo, Rodrigo T. N. Cardoso, Tales A. Jesus 
Publication date: 7 January 2022
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/20m1346420
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Multi-objective and goal programming (90C29) Portfolio theory (91G10) Model predictive control (93B45)
Cites Work
- Nonlinear model predictive control: an introductory review
- Predictive control of random-parameter systems with multiplicative noise. Application to investment portfolio optimization
- Model predictive control for constrained systems with serially correlated stochastic parameters and portfolio optimization
- STOCHASTIC MODEL PREDICTIVE CONTROL AND PORTFOLIO OPTIMIZATION
- Model predictive control of constrained Markovian jump nonlinear stochastic systems and portfolio optimization under market frictions
- Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints
- Multi-period portfolio selection with drawdown control
- An introduction to financial mathematics. Option valuation
- Feedback predictive control strategies for investment in the financial market with serially correlated returns subject to constraints and trading costs
- Dynamic portfolio optimization across hidden market regimes
- Dynamic option hedging with transaction costs: A stochastic model predictive control approach
Cited In (8)
- Robust portfolio optimization with fuzzy TODIM, genetic algorithm and multi-criteria constraints
- Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks
- 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
- Multi-period portfolio selection with drawdown control
- The application of model predictive control on stock portfolio optimization with prediction based on geometric Brownian motion-Kalman filter
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