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A Stochastic Receding Horizon Control Approach to Constrained Index Tracking

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References

2011Introduction to Stochastic Programming6,490 cited
2003An evolutionary heuristic for the index tracking problem340 cited
1999A linear model for tracking error minimization199 cited
2004Optimal portfolio selection and dynamic benchmark tracking139 cited
2007STOCHASTIC MODEL PREDICTIVE CONTROL AND PORTFOLIO OPTIMIZATION63 cited
2006Tracking a Financial Benchmark Using a Few Assets55 cited
2006Model predictive control for portfolio selection44 cited

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2012On market-neutral stock trading arbitrage via linear feedback27 cited
2008Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach24 cited
2017Pairs trading under transaction costs using model predictive control24 cited
2010LQR and receding horizon approaches to multi-dimensional option hedging under transaction costs19 cited
2017The impacts of bank-specific and macroeconomic variables on the capital adequacy ratio: evidence from Islamic banks18 cited

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