Multiobjective dynamic optimization of investment portfolio based on model predictive control

DOI10.1137/20M1346420MaRDI QIDQ5020745zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

model predictive controlmultiobjective optimizationportfolio selection

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Portfolio theory (91G10) Model predictive control (93B45)

Recommendations

• Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks
• A multi-objective portfolio model with improved transaction cost based on CVaR
• Multi-period portfolio selection with drawdown control
• A new optimal portfolio selection strategy based on a quadratic form mean-variance model with transaction costs
• Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints

Cites work

• An introduction to financial mathematics. Option valuation
• Dynamic option hedging with transaction costs: A stochastic model predictive control approach
• Dynamic portfolio optimization across hidden market regimes
• Feedback predictive control strategies for investment in the financial market with serially correlated returns subject to constraints and trading costs
• Model predictive control for constrained systems with serially correlated stochastic parameters and portfolio optimization
• Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints
• Model predictive control of constrained Markovian jump nonlinear stochastic systems and portfolio optimization under market frictions
• Multi-period portfolio selection with drawdown control
• Nonlinear model predictive control: an introductory review
• Predictive control of random-parameter systems with multiplicative noise. Application to investment portfolio optimization
• STOCHASTIC MODEL PREDICTIVE CONTROL AND PORTFOLIO OPTIMIZATION

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

This page was built for publication: Multiobjective dynamic optimization of investment portfolio based on model predictive control

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5020745)