A receding horizon control approach to portfolio optimization using a risk-minimax objective for wealth tracking.
Srikanth SridharanDivakar ChitturiArmando A. RodriguezPublished in: CCA (2011)
Keyphrases
- portfolio optimization
- receding horizon
- optimal linear
- unmanned aerial vehicles
- risk management
- portfolio management
- air traffic control
- risk measures
- portfolio selection
- robust optimization
- formation control
- problems involving
- factor analysis
- optimization methods
- stock market
- bi objective
- investment decisions
- multiple objectives
- stock exchange
- sharpe ratio
- stock price
- utility function
- particle swarm optimization
- data warehouse
- long term
- control system
- artificial intelligence
- neural network