STOCHASTIC MODEL PREDICTIVE CONTROL AND PORTFOLIO OPTIMIZATION

Recommendations

Model predictive control for constrained systems with serially correlated stochastic parameters and portfolio optimization
Model predictive control of constrained Markovian jump nonlinear stochastic systems and portfolio optimization under market frictions
Model predictive control of systems with random dependent parameters under constraints and its application to the investment portfolio optimization
Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints
Design of model predictive control for constrained Markov jump linear systems with multiplicative noises and online portfolio selection

Cites work

Bounds on the Expectation of a Convex Function of a Multivariate Random Variable
Bounds on the Expectation of a Convex Function of a Random Variable: With Applications to Stochastic Programming
Constrained model predictive control: Stability and optimality
scientific article; zbMATH DE number 5178093 (Why is no real title available?)
scientific article; zbMATH DE number 1095138 (Why is no real title available?)
scientific article; zbMATH DE number 2231189 (Why is no real title available?)
Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games
Products of trees for investment analysis
Risk sensitive asset allocation
Shortfall as a risk measure: properties, optimization and applications
Strategic asset allocation

Cited in

(25)

Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints
The application of model predictive control on stock portfolio optimization with prediction based on geometric Brownian motion-Kalman filter
Multi-period portfolio selection with drawdown control
Portfolio optimization and model predictive control: A kinetic approach
Solving the Beck and Wieland model with optimal experimentation in \textit{DualPC}
Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks
Survey on multi-period mean-variance portfolio selection model
Generalised polynomial chaos expansion approaches to approximate stochastic model predictive control^†
Scenario-based, closed-loop model predictive control with application to emergency vehicle scheduling
Dynamic hedging of basket options under proportional transaction costs using receding horizon control
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
Dynamic portfolio optimization across hidden market regimes
Multiobjective dynamic optimization of investment portfolio based on model predictive control
Model predictive control design for constrained Markov jump bilinear stochastic systems with an application in finance
DETERMINISTIC INVESTMENT STRATEGY IN A DC PENSION PLAN WITH INFLATION RISK UNDER MEAN-VARIANCE CRITERION
Online Mixed-Integer Optimization in Milliseconds
Dynamic option hedging via stochastic model predictive control based on scenario simulation
Deterministic mean-variance-optimal consumption and investment
Investment portfolio tracking using model predictive control
Bayesian nonparametric portfolio selection with rolling maximum drawdown control
On asymptotic log-optimal portfolio optimization
Optimal deterministic asset-liability management with uncertain time horizon under mean-variance criterion
A stochastic receding horizon control approach to constrained index tracking

Describes a project that uses

Uses Software

This page was built for publication: STOCHASTIC MODEL PREDICTIVE CONTROL AND PORTFOLIO OPTIMIZATION

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5292276)