A stochastic receding horizon control approach to constrained index tracking

DOI10.1007/S10690-008-9073-1MaRDI QIDQ945045zbMATH OpenOpenAlexFDO

Authors James A. Primbs, Chang Hwan Sung

Publication date 10 September 2008

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-008-9073-1

zbMATH Keywords

constraintsindex trackingstochastic controlcomputational methodsreceding horizon control

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Estimation and detection in stochastic control theory (93E10)

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Cites work

• scientific article; zbMATH DE number 165316 (Why is no real title available?)
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• Model predictive control: Theory and practice - a survey
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• Stochastic linear-quadratic control via semidefinite programming
• Tracking a Financial Benchmark Using a Few Assets

Cited in

(6)

• Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints
• A hybrid approach for index tracking with practical constraints
• Tracking a Financial Benchmark Using a Few Assets
• scientific article; zbMATH DE number 5879523 (Why is no real title available?)
• Dynamic index tracking and risk exposure control using derivatives
• Model predictive control: recent developments and future promise

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Uses Software

• SeDuMi Interface
• SeDuMi

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