Optimal Control and Hedging of Operations in the Presence of Financial Markets.
René CaldenteyMartin B. HaughPublished in: Math. Oper. Res. (2006)
Keyphrases
- financial markets
- optimal control
- dynamic programming
- stock market
- stock price
- control problems
- feedback control
- portfolio selection
- class of nonlinear systems
- optimal control problems
- reinforcement learning
- market data
- risk management
- infinite horizon
- control strategy
- control law
- technical indicators
- agent based modeling
- trading systems
- brownian motion
- long term
- neural network
- exchange rate
- decision makers
- financial data
- supply chain
- stochastic control
- information systems
- data mining