Predictive control of systems with Markovian jumps under constraints and its application to the investment portfolio optimization
From MaRDI portal
Publication:664261
DOI10.1134/S0005117911050079zbMath1235.93259MaRDI QIDQ664261
T. Yu. Obedko, V. V. Dombrovskii
Publication date: 1 March 2012
Published in: Automation and Remote Control (Search for Journal in Brave)
91G60: Numerical methods (including Monte Carlo methods)
90C90: Applications of mathematical programming
93E20: Optimal stochastic control
91G10: Portfolio theory
Related Items
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 for optimal pairs trading portfolio with gross exposure and transaction cost constraints, Sparse mean-variance customer Markowitz portfolio optimization for Markov chains: a Tikhonov's regularization penalty approach, Model Predictive Control for Discrete-Time Linear Systems with Time Delays and Unknown Input
Cites Work
- Unnamed Item
- Generalized coupled algebraic Riccati equations for discrete-time Markov jump with multiplicative noise systems
- Optimal state filtering of controllable systems with random structure
- Model predictive control of systems with random dependent parameters under constraints and its application to the investment portfolio optimization
- An application of hidden Markov models to asset allocation problems
- Products of trees for investment analysis
- An improved approach for constrained robust model predictive control
- Constrained model predictive control: Stability and optimality
- Preliminary distribution analysis for the states of special control systems with random structure
- Predictive control of random-parameter systems with multiplicative noise. Application to investment portfolio optimization
- Dynamic control of the investment portfolio in the jump-diffusion financial market with regime switching
- Dynamic network model of managing investment portfolio under random stepwise changes in volatilities of financial assets
- Robust stabilization of random-structure systems via switchable static output feedback
- Model predictive control based on linear programming - the explicit solution
- Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
- Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
- The Linear Quadratic Optimization Problems for a Class of Linear Stochastic Systems With Multiplicative White Noise and Markovian Jumping
- The explicit linear quadratic regulator for constrained systems
