Stochastic model predictive control and portfolio optimization

International Journal of Theoretical and Applied Finance

Volumn 10, Issue 2, 2007, Pages 203-233

  Herzog, Florian ^a,b   Dondi, Gabriel ^a,b   Geering, Hans P ^a  

^a ETH ZURICH   (Switzerland)

^b SwissQuant Group AG   (Switzerland)

Author keywords

Dynamic programming; Model predictive control; Optimal control; Portfolio optimization

Indexed keywords

EID: 33847362337     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024907004196     Document Type: Article

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