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

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Mathematics Subject Classification ID

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

Cites Work

• Constrained model predictive control: Stability and optimality
• Title not available (Why is that?)
• Model predictive control based on linear programming - the explicit solution
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• The explicit linear quadratic regulator for constrained systems
• 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
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• An application of hidden Markov models to asset allocation problems
• Products of trees for investment analysis
• Dynamic control of the investment portfolio in the jump-diffusion financial market with regime switching
• Optimal state filtering of controllable systems with random structure
• Predictive control of random-parameter systems with multiplicative noise. Application to investment portfolio optimization
• Generalized coupled algebraic Riccati equations for discrete-time Markov jump with multiplicative noise systems
• Preliminary distribution analysis for the states of special control systems with random structure
• Robust stabilization of random-structure systems via switchable static output feedback
• Model predictive control of systems with random dependent parameters under constraints and its application to the investment portfolio optimization
• Dynamic network model of managing investment portfolio under random stepwise changes in volatilities of financial assets

Cited In (10)

• Finite-frequency output feedback MPC for Markov jump systems
• Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints
• 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 Discrete-Time Linear Systems with Time Delays and Unknown Input
• 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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