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