A stochastic receding horizon control approach to constrained index tracking
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Publication:945045
DOI10.1007/s10690-008-9073-1zbMath1151.91534OpenAlexW2015370733MaRDI QIDQ945045
James A. Primbs, Chang Hwan Sung
Publication date: 10 September 2008
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-008-9073-1
Numerical methods (including Monte Carlo methods) (91G60) Estimation and detection in stochastic control theory (93E10) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)
Related Items (3)
Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints ⋮ Dynamic Index Tracking and Risk Exposure Control Using Derivatives ⋮ Model predictive control: recent developments and future promise
Uses Software
Cites Work
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