Investment portfolio tracking using model predictive control

DOI10.1002/oca.2937MaRDI QIDQ6054512

Maisa Kely de Melo, Unnamed Author, Unnamed Author, Unnamed Author

Publication date: 25 October 2023

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

zbMATH Keywords

optimal controlmodel predictive controlportfolio selectionportfolio tracking

Mathematics Subject Classification ID

Portfolio theory (91G10) Model predictive control (93B45)

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
• Optimal portfolio selection and dynamic benchmark tracking
• Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints
• Approximating exact expected utility via portfolio efficient frontiers
• Robust portfolio selection for index tracking
• Constrained model predictive control: Stability and optimality
• Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management
• Feedback predictive control strategies for investment in the financial market with serially correlated returns subject to constraints and trading costs
• Dynamic option hedging with transaction costs: A stochastic model predictive control approach
• STOCHASTIC MODEL PREDICTIVE CONTROL AND PORTFOLIO OPTIMIZATION

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