Model Predictive Control for portfolio selection

Proceedings of the American Control Conference

Volumn 2006, Issue , 2006, Pages 1252-1259

  Herzog, Florian ^a   Keel, Simon ^a   Dondi, Gabriel ^a   Schumann, Lorenz M ^a   Geering, Hans P ^a  

^a ETH ZURICH   (Switzerland)

Author keywords

[No Author keywords available]

Indexed keywords

DATABASE SYSTEMS; MARKETING; OPTIMIZATION; PROBLEM SOLVING; RISK ASSESSMENT; STOCHASTIC CONTROL SYSTEMS;

GAUSSIAN FACTOR MODEL; OPEN-LOOP CONTROL; PORTFOLIO OPTIMIZATION; PORTFOLIO VALUE-AT-RISK;

MODEL PREDICTIVE CONTROL;

EID: 34047216129     PISSN: 07431619     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/acc.2006.1656389     Document Type: Conference Paper

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