Investment portfolio optimizationwith transaction costs and constraints using model predictive control on the basis of market model | Vestnik Tomskogo gosudarstvennogo universiteta – Tomsk State University Journal. 2004. № 284.

HomeIssuesInvestment portfolio optimizationwith transaction costs and constraints using model predictive control on the basis of market model | Vestnik Tomskogo gosudarstvennogo universiteta – Tomsk State University Journal. 2004. № 284.

Investment portfolio optimizationwith transaction costs and constraints using model predictive control on the basis of market model

The investment portfolio management task with transaction costs and trading volume constraints is considered. We proposeto use the model predictive control methodology in order obtain optimal feedback trading strategies. The yields of risky financial investmentare described by single factor market model. Optimal strategies computation includes the decision of the sequence of quadraticprogramming tasks.

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Authors

NameOrganizationE-mail
Dombrovskiy V. V.Tomsk State Universitydombrovs@ef.tsu.ru
Dombrovskiy D. V.Tomsk State Universitydombrovs@ef.tsu.ru
Lyashenko E. A.Tomsk State Universitylashenko@ef.tsu.ru
Всего: 3

References

Investment portfolio optimizationwith transaction costs and constraints using model predictive control on the basis of market model | Vestnik Tomskogo gosudarstvennogo universiteta – Tomsk State University Journal. 2004. № 284.

Investment portfolio optimizationwith transaction costs and constraints using model predictive control on the basis of market model | Vestnik Tomskogo gosudarstvennogo universiteta – Tomsk State University Journal. 2004. № 284.

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