Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks.
Xiaoyue LiA. Sinem UysalJohn M. MulveyPublished in: Eur. J. Oper. Res. (2022)
Keyphrases
- portfolio optimization
- multi period
- model predictive control
- portfolio selection
- control system
- portfolio management
- predictive control
- risk management
- planning horizon
- production planning
- robust optimization
- lot sizing
- factor analysis
- problems involving
- routing problem
- bi objective
- data envelopment analysis
- stock market
- stock exchange
- investment decisions
- optimization methods
- stock price
- total cost
- sharpe ratio
- multiple objectives
- lead time
- integer programming
- control strategy
- multistage
- simulated annealing