SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

A Stochastic Receding Horizon Control Approach to Constrained Index Tracking · Study

ArticleShelves

ArticleA Stochastic Receding Horizon Control Approach to Constrained Index Tracking

James A. Primbs2008

Article2008

A Stochastic Receding Horizon Control Approach to Constrained Index Tracking

James A. Primbs · Chang Hwan Sung

42 citations·0/0 files stored·Asia-Pacific Financial Markets

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Risk and Portfolio Optimization Stochastic processes and financial applications Advanced Control Systems Optimization

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 42 citations exist upstream.

References

2011Introduction to Stochastic Programming 2003An evolutionary heuristic for the index tracking problem 1999A linear model for tracking error minimization 2004Optimal portfolio selection and dynamic benchmark tracking 2007STOCHASTIC MODEL PREDICTIVE CONTROL AND PORTFOLIO OPTIMIZATION 2006Tracking a Financial Benchmark Using a Few Assets 2006Model predictive control for portfolio selection

Cited by

2012On market-neutral stock trading arbitrage via linear feedback 2008Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach 2017Pairs trading under transaction costs using model predictive control 2010LQR and receding horizon approaches to multi-dimensional option hedging under transaction costs 2017The impacts of bank-specific and macroeconomic variables on the capital adequacy ratio: evidence from Islamic banks

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2010Robust portfolio selection for index trackingarticle · 3 shared references 2017Optimal construction and rebalancing of index-tracking portfoliosarticle · 3 shared references 2019Index tracking through deep latent representation learningother · 3 shared references 2018Tracking and outperforming large stock-market indicesarticle · 3 shared references 2013Enhanced indexation based on second-order stochastic dominancearticle · 2 shared references 2008A hybrid optimization approach to index trackingchapter · 2 shared references

Details

Year2008

Typearticle

Published2008-03-01

VenueAsia-Pacific Financial Markets

ISSN-L1380-2011

Languageen

Citations42

Files0 public / 0

ShelfRisk and Portfolio Optimization

Identifiers

doi10.1007/s10690-008-9073-1

openalex_workW2015370733

Links

Imported from OpenAlex (CC0) — nothing here is generated.