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Portfolio Optimization Applications of Stochastic Receding Horizon Control
1 references·1 citing·9 second hop
Portfolio Optimization Applications of Stochastic Receding Horizon Control (2007)Portfolio Optimization Applications of St…Model predictive control for portfolio selection (2006)Model predictive control for …LQR and receding horizon approaches to multi-dimensional option hedging under transaction costs (2010)LQR and receding horizon appr…The Pricing of Options and Corporate Liabilities (1973)Theory of rational option pricing (2005)Introduction to Stochastic Programming (2011)Continuous-time finance (1992)Strategic asset allocation (1997)Strategic Asset Allocation (2002)A Stochastic Receding Horizon Control Approach to Constrained Index Tracking (2008)Scenario-based stochastic model predictive control for dynamic option hedging (2010)Dynamic option hedging via stochastic model predictive control based on scenario simulation (2012)
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References

  • 2006Model predictive control for portfolio selection44 cited

Cited by

  • 2010LQR and receding horizon approaches to multi-dimensional option hedging under transaction costs19 cited

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