A stochastic receding horizon control approach to constrained index tracking

Asia-Pacific Financial Markets

Volumn 15, Issue 1, 2008, Pages 3-24

  Primbs, James A ^a   Sung, Chang Hwan ^b  

^a Stanford University   (United States)

^b Barclays Global Investors   (United States)

Author keywords

Computational methods; Constraints; Index tracking; Receding horizon control; Stochastic control

Indexed keywords

EID: 47749090479     PISSN: 13872834     EISSN: None     Source Type: Journal    
DOI: 10.1007/s10690-008-9073-1     Document Type: Article

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