Model predictive control for constrained systems with serially correlated stochastic parameters and portfolio optimization

DOI10.1016/j.automatica.2015.02.021zbMath1318.93099OpenAlexW1972139008MaRDI QIDQ490850

Vladimir Dombrovskii, Tatyana Obyedko

Publication date: 21 August 2015

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2015.02.021

zbMATH Keywords

model predictive controlconstraintsinvestment portfolioserially correlated parameters

Mathematics Subject Classification ID

Related Items (6)

Investment portfolio tracking using model predictive control ⋮ Bayesian nonparametric portfolio selection with rolling maximum drawdown control ⋮ On asymptotic log-optimal portfolio optimization ⋮ Model predictive control of constrained Markovian jump nonlinear stochastic systems and portfolio optimization under market frictions ⋮ 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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