STOCHASTIC MODEL PREDICTIVE CONTROL AND PORTFOLIO OPTIMIZATION
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Cites work
- Bounds on the Expectation of a Convex Function of a Multivariate Random Variable
- Bounds on the Expectation of a Convex Function of a Random Variable: With Applications to Stochastic Programming
- Constrained model predictive control: Stability and optimality
- scientific article; zbMATH DE number 5178093 (Why is no real title available?)
- scientific article; zbMATH DE number 1095138 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games
- Products of trees for investment analysis
- Risk sensitive asset allocation
- Shortfall as a risk measure: properties, optimization and applications
- Strategic asset allocation
Cited in
(25)- Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints
- The application of model predictive control on stock portfolio optimization with prediction based on geometric Brownian motion-Kalman filter
- Multi-period portfolio selection with drawdown control
- Portfolio optimization and model predictive control: A kinetic approach
- Solving the Beck and Wieland model with optimal experimentation in \textit{DualPC}
- Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks
- Survey on multi-period mean-variance portfolio selection model
- Generalised polynomial chaos expansion approaches to approximate stochastic model predictive control†
- Scenario-based, closed-loop model predictive control with application to emergency vehicle scheduling
- Dynamic hedging of basket options under proportional transaction costs using receding horizon control
- Dynamic portfolio optimization across hidden market regimes
- Feedback predictive control strategies for investment in the financial market with serially correlated returns subject to constraints and trading costs
- Model predictive control for constrained systems with serially correlated stochastic parameters and portfolio optimization
- Dynamic portfolio optimization across hidden market regimes
- Multiobjective dynamic optimization of investment portfolio based on model predictive control
- Model predictive control design for constrained Markov jump bilinear stochastic systems with an application in finance
- DETERMINISTIC INVESTMENT STRATEGY IN A DC PENSION PLAN WITH INFLATION RISK UNDER MEAN-VARIANCE CRITERION
- Online Mixed-Integer Optimization in Milliseconds
- Dynamic option hedging via stochastic model predictive control based on scenario simulation
- Deterministic mean-variance-optimal consumption and investment
- Investment portfolio tracking using model predictive control
- Bayesian nonparametric portfolio selection with rolling maximum drawdown control
- On asymptotic log-optimal portfolio optimization
- Optimal deterministic asset-liability management with uncertain time horizon under mean-variance criterion
- A stochastic receding horizon control approach to constrained index tracking
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