STOCHASTIC MODEL PREDICTIVE CONTROL AND PORTFOLIO OPTIMIZATION

DOI10.1142/S0219024907004196zbMath1137.91449MaRDI QIDQ5292276

Gabriel Dondi, Hans P. Geering, Florian Herzog

Publication date: 20 June 2007

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

optimal controldynamic programmingportfolio optimizationmodel predictive control

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (19)

Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints ⋮ DETERMINISTIC INVESTMENT STRATEGY IN A DC PENSION PLAN WITH INFLATION RISK UNDER MEAN-VARIANCE CRITERION ⋮ Dynamic portfolio optimization across hidden market regimes ⋮ Survey on multi-period mean-variance portfolio selection model ⋮ Investment portfolio tracking using model predictive control ⋮ Bayesian nonparametric portfolio selection with rolling maximum drawdown control ⋮ Online Mixed-Integer Optimization in Milliseconds ⋮ On asymptotic log-optimal portfolio optimization ⋮ Solving the Beck and Wieland model with optimal experimentation in \textit{DualPC} ⋮ Model predictive control for constrained systems with serially correlated stochastic parameters and portfolio optimization ⋮ A stochastic receding horizon control approach to constrained index tracking ⋮ Deterministic mean-variance-optimal consumption and investment ⋮ Dynamic portfolio optimization across hidden market regimes ⋮ Multi-period portfolio selection with drawdown control ⋮ Dynamic hedging of basket options under proportional transaction costs using receding horizon control ⋮ Generalised polynomial chaos expansion approaches to approximate stochastic model predictive control^† ⋮ Scenario-based, closed-loop model predictive control with application to emergency vehicle scheduling ⋮ 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

Uses Software

• QRM

Cites Work

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• Bounds on the Expectation of a Convex Function of a Random Variable: With Applications to Stochastic Programming
• Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games

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