Login / Signup
Portfolio optimization in the financial market with regime switching under constraints and transaction costs using model predictive control.
Vladimir V. Dombrovskii
Tatyana Obyedko
Published in:
ECC (2015)
Keyphrases
</>
portfolio optimization
financial markets
portfolio selection
transaction costs
stock exchange
stock price
portfolio management
stock market
model predictive control
risk management
control system
predictive control
financial time series
exchange rate
non stationary
outlier detection
short term
genetic algorithm