Model predictive control of systems with random dependent parameters under constraints and its application to the investment portfolio optimization

DOI10.1134/S000511790612006XzbMath1194.93209MaRDI QIDQ885779

E. A. Lyashenko, D. V. Dombrovskii, V. V. Dombrovskii

Publication date: 14 June 2007

Published in: Automation and Remote Control (Search for Journal in Brave)

Mathematics Subject Classification ID

Identification in stochastic control theory (93E12) Portfolio theory (91G10)

Related Items

Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints, Model predictive control of systems with random dependent parameters under constraints and its application to the investment portfolio optimization, Predictive control of systems with Markovian jumps under constraints and its application to the investment portfolio optimization, Model predictive control for constrained systems with serially correlated stochastic parameters and portfolio optimization

Uses Software

• FinTS

Cites Work

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