MultiObjective Dynamic Optimization of Investment Portfolio Based on Model Predictive Control

DOI10.1137/20M1346420zbMath1480.91265OpenAlexW4205569378MaRDI QIDQ5020745

Maisa Kely de Melo, Rodrigo T. N. Cardoso, Tales A. Jesus

Publication date: 7 January 2022

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/20m1346420

zbMATH Keywords

multiobjective optimizationmodel predictive controlportfolio selection

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Portfolio theory (91G10) Model predictive control (93B45)

Related Items (1)

On asymptotic log-optimal portfolio optimization

Cites Work

• Model predictive control for constrained systems with serially correlated stochastic parameters and portfolio optimization
• Model predictive control of constrained Markovian jump nonlinear stochastic systems and portfolio optimization under market frictions
• Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints
• Multi-period portfolio selection with drawdown control
• Predictive control of random-parameter systems with multiplicative noise. Application to investment portfolio optimization
• An Introduction to Financial Mathematics
• Feedback predictive control strategies for investment in the financial market with serially correlated returns subject to constraints and trading costs
• Dynamic portfolio optimization across hidden market regimes
• Nonlinear Model Predictive Control: An Introductory Review
• Dynamic option hedging with transaction costs: A stochastic model predictive control approach
• STOCHASTIC MODEL PREDICTIVE CONTROL AND PORTFOLIO OPTIMIZATION

This page was built for publication: MultiObjective Dynamic Optimization of Investment Portfolio Based on Model Predictive Control