Tatyana Obyedko

Publication Activity (10 Years)

Years Active: 2015-2018
Publications (10 Years): 3

Top Topics

Portfolio Optimization

Financial Markets

Stochastic Systems

Model Predictive Control

Top Venues

Publications

Vladimir V. Dombrovskii, Tatyana Obyedko, Maria Samorodova
Model predictive control of constrained Markovian jump nonlinear stochastic systems and portfolio optimization under market frictions. Autom. 87 (2018)
Vladimir V. Dombrovskii, Tatyana Obyedko
Portfolio optimization in the financial market with regime switching under constraints and transaction costs using model predictive control. ECC (2015)
Vladimir V. Dombrovskii, Tatyana Obyedko
Model predictive control for constrained systems with serially correlated stochastic parameters and portfolio optimization. Autom. 54 (2015)