Feedback predictive control strategies for investment in the financial market with serially correlated returns subject to constraints and trading costs

DOI10.1002/oca.2296zbMath1386.93132OpenAlexW2578849580MaRDI QIDQ4599836

Vladimir Dombrovskii, Tatiana Obedko

Publication date: 5 January 2018

Published in: Optimal Control Applications and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/oca.2296

zbMATH Keywords

constraintsserially correlated returnsinvestment portfoliotrading costsmode predictive control

Mathematics Subject Classification ID

Feedback control (93B52) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (3)

Investment portfolio tracking using model predictive control ⋮ 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

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