Model predictive control of constrained Markovian jump nonlinear stochastic systems and portfolio optimization under market frictions.
Vladimir V. DombrovskiiTatyana ObyedkoMaria SamorodovaPublished in: Autom. (2018)
Keyphrases
- model predictive control
- portfolio optimization
- stochastic systems
- stock price
- stock market
- portfolio management
- control system
- stock exchange
- predictive control
- stochastic models
- portfolio selection
- problems involving
- risk management
- mpc algorithm
- optimization methods
- factor analysis
- bi objective
- financial markets
- confidence intervals
- robust optimization
- historical data
- financial data
- markov chain
- short term
- real time
- control scheme
- control method
- chaotic systems
- control strategy
- closed loop
- particle swarm optimization
- decision makers
- decision making
- genetic algorithm