Portfolio optimization applications of stochastic receding horizon control

Proceedings of the American Control Conference

Volumn , Issue , 2007, Pages 1811-1816

  Primbs, James A ^a  

^a Stanford University   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

CHANCE CONSTRAINTS; CLOSED LOOPS; MULTIPLICATIVE NOISES; NEW APPROACHES; NUMERICAL EXAMPLES; ON-LINE OPTIMIZATION; PORTFOLIO OPTIMIZATION; RECEDING HORIZON CONTROL (RHC); SEMI-DEFINITE PROGRAM (SDP);

ADMINISTRATIVE DATA PROCESSING; CONCURRENCY CONTROL; CONTROL SYSTEMS; CURVE FITTING; EIGENVALUES AND EIGENFUNCTIONS; FINANCIAL DATA PROCESSING; LINEAR SYSTEMS; NONLINEAR CONTROL SYSTEMS; OPTIMIZATION; QUADRATIC PROGRAMMING; STOCHASTIC PROGRAMMING; STRUCTURED PROGRAMMING;

CONSTRAINED OPTIMIZATION;

EID: 39549110240     PISSN: 07431619     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/ACC.2007.4282251     Document Type: Conference Paper

References (14)

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