Model predictive control of systems with random dependent parameters under constraints and its application to the investment portfolio optimization
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Publication:885779
DOI10.1134/S000511790612006XzbMATH Open1194.93209MaRDI QIDQ885779FDOQ885779
Authors: E. A. Lyashenko, V. V. Dombrovskii, D. V. Dombrovskii 
Publication date: 14 June 2007
Published in: Automation and Remote Control (Search for Journal in Brave)
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Cites Work
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- Model predictive control of systems with random dependent parameters under constraints and its application to the investment portfolio optimization
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
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