Predictive control of systems with Markovian jumps under constraints and its application to the investment portfolio optimization

DOI10.1134/S0005117911050079zbMATH Open1235.93259OpenAlexW1989603723MaRDI QIDQ664261FDOQ664261

Authors V. V. Dombrovskii, T. Yu. Ob''edko 

Publication date 1 March 2012

Published in Automation and Remote Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/s0005117911050079

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Optimal stochastic control (93E20)

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Cites Work

• scientific article; zbMATH DE number 722978 (Why is no real title available?)
• An application of hidden Markov models to asset allocation problems
• An improved approach for constrained robust model predictive control
• Constrained model predictive control: Stability and optimality
• 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
• Generalized coupled algebraic Riccati equations for discrete-time Markov jump with multiplicative noise systems
• Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
• Model predictive control based on linear programming - the explicit solution
• Model predictive control of systems with random dependent parameters under constraints and its application to the investment portfolio optimization
• Optimal state filtering of controllable systems with random structure
• Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
• Predictive control of random-parameter systems with multiplicative noise. Application to investment portfolio optimization
• Preliminary distribution analysis for the states of special control systems with random structure
• Products of trees for investment analysis
• Robust stabilization of random-structure systems via switchable static output feedback
• 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

Cited In (12)

• Model predictive control design for constrained Markov jump bilinear stochastic systems with an application in finance
• Finite-frequency output feedback MPC for Markov jump systems
• Design of model predictive control for constrained Markov jump linear systems with multiplicative noises and online portfolio selection
• Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints
• Model predictive control for discrete-time linear systems with time delays and unknown input
• Predictive control of random-parameter systems with multiplicative noise. Application to investment portfolio optimization
• Sparse mean-variance customer Markowitz portfolio optimization for Markov chains: a Tikhonov's regularization penalty approach
• The application of model predictive control on stock portfolio optimization with prediction based on geometric Brownian motion-Kalman filter
• Optimal control of Markovian switching systems with applications to portfolio decisions under inflation
• Model predictive control for constrained systems with serially correlated stochastic parameters and portfolio optimization
• Model predictive control of systems with random dependent parameters under constraints and its application to the investment portfolio optimization
• Model predictive control of constrained Markovian jump nonlinear stochastic systems and portfolio optimization under market frictions

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