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Model predictive control for portfolio selection

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References

2002Strategic Asset Allocation1,354 cited
1997Strategic asset allocation730 cited
1992Continuous-time finance190 cited

Cited by

2008A Stochastic Receding Horizon Control Approach to Constrained Index Tracking42 cited
2007Portfolio Optimization Applications of Stochastic Receding Horizon Control41 cited
2010Scenario-based stochastic model predictive control for dynamic option hedging29 cited
2012Dynamic option hedging via stochastic model predictive control based on scenario simulation28 cited
2012On market-neutral stock trading arbitrage via linear feedback27 cited
2017Pairs trading under transaction costs using model predictive control24 cited
2013On stock trading using a PI controller in an idealized market: The robust positive expectation property21 cited
2016On stock trading using a controller with delay: The Robust Positive Expectation Property17 cited

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