Model predictive control of systems with random dependent parameters under constraints and its application to the investment portfolio optimization
From MaRDI portal
(Redirected from Publication:885779)
Recommendations
- Predictive control of random-parameter systems with multiplicative noise. Application to investment portfolio optimization
- Model predictive control for constrained systems with serially correlated stochastic parameters and portfolio optimization
- Predictive control of systems with Markovian jumps under constraints and its application to the investment portfolio optimization
- A linear quadratic control for discrete systems with random parameters and multiplicative noise and its application to investment portfolio optimization
- Model predictive control of constrained Markovian jump nonlinear stochastic systems and portfolio optimization under market frictions
Cites work
- scientific article; zbMATH DE number 3793774 (Why is no real title available?)
- scientific article; zbMATH DE number 1820665 (Why is no real title available?)
- scientific article; zbMATH DE number 1869269 (Why is no real title available?)
- An improved approach for constrained robust model predictive control
- Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection
- Constrained model predictive control: Stability and optimality
- Consumption-investment problems with transaction costs: Survey and open problems
- Dynamic asset allocation in a mean-variance framework
- 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
- Products of trees for investment analysis
- Risk-sensitive dynamic asset management
- The explicit linear quadratic regulator for constrained systems
Cited in
(9)- Model predictive control design for constrained Markov jump bilinear stochastic systems with an application in finance
- Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints
- A linear quadratic control for discrete systems with random parameters and multiplicative noise and its application to investment portfolio optimization
- Predictive control of random-parameter systems with multiplicative noise. Application to investment portfolio optimization
- The application of model predictive control on stock portfolio optimization with prediction based on geometric Brownian motion-Kalman filter
- STOCHASTIC MODEL PREDICTIVE CONTROL AND PORTFOLIO OPTIMIZATION
- Model predictive control for constrained systems with serially correlated stochastic parameters and portfolio optimization
- Predictive control of systems with Markovian jumps under constraints and its application to the investment portfolio optimization
- Model predictive control of systems with random dependent parameters under constraints and its application to the investment portfolio optimization
This page was built for publication: Model predictive control of systems with random dependent parameters under constraints and its application to the investment portfolio optimization
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q885779)
