A stochastic receding horizon control approach to constrained index tracking
DOI10.1007/S10690-008-9073-1zbMATH Open1151.91534OpenAlexW2015370733MaRDI QIDQ945045FDOQ945045
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
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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)
Cites Work
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- Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach
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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
- Title not available (Why is that?)
- Dynamic index tracking and risk exposure control using derivatives
- Model predictive control: recent developments and future promise
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