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On stock trading using a controller with delay: The Robust Positive Expectation Property
16 references·1 citing·33 second hop
On stock trading using a controller with delay: The Robust Positive Expectation Property (2016)On stock trading using a controller with …On Stock Trading Via Feedback Control When Underlying Stock Returns Are Discontinuous (2016)On Stock Trading Via Feedback…On a New Paradigm for Stock Trading Via a Model-Free Feedback Controller (2015)On a New Paradigm for Stock T…On stock trading using a PI controller in an idealized market: The robust positive expectation property (2013)On stock trading using a PI c…On market-neutral stock trading arbitrage via linear feedback (2012)On market-neutral stock tradi…On performance limits of feedback control-based stock trading strategies (2011)On performance limits of feed…On arbitrage possibilities via linear feedback in an idealized Brownian Motion stock market (2011)On arbitrage possibilities vi…Scenario-based stochastic model predictive control for dynamic option hedging (2010)Scenario-based stochastic mod…Portfolio selection with higher moments (2010)Portfolio selection with high…An Affine Control Method for Optimal Dynamic Asset Allocation with Transaction Costs (2009)An Affine Control Method for …On Trading of Equities: A Robust Control Paradigm (2008)On Trading of Equities: A Rob…Multi-period portfolio optimization with linear control policies (2008)Multi-period portfolio optimi…Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach (2008)Dynamic hedging of single and…Model predictive control for portfolio selection (2006)Model predictive control for …Multidimensional Security Pricing (1975)Multidimensional Security Pri…Efficient Portfolio Selection with Quadratic and Cubic Utility (1970)Efficient Portfolio Selection…Portfolio Selection (1952)Portfolio SelectionA Generalized Framework for Simultaneous Long-Short Feedback Trading (2020)A Generalized Framework for S…Optimum consumption and portfolio rules in a continuous-time model (1971)The Pricing of Options and Corporate Liabilities (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)An Intertemporal Capital Asset Pricing Model (1973)Multistage stochastic portfolio optimisation in deregulated electricity markets using linear decision rules (2011)A constraint sampling approach for multi-stage robust optimization (2012)Continuous-time finance (1992)Strategic asset allocation (1997)Strategic Asset Allocation (2002)Portfolio Optimization Applications of Stochastic Receding Horizon Control (2007)A Stochastic Receding Horizon Control Approach to Constrained Index Tracking (2008)The Extension of Portfolio Analysis to Three or More Parameters (1971)An Analytic Derivation of the Efficient Portfolio Frontier (1972)Theory of Financial Decision Making. (1988)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation (2000)The Behavior of Stock-Market Prices (1965)PORTFOLIO SELECTION* (1952)Portfolio Selection: Efficient Diversification of Investments (1959)Downside Risk (2006)Optimal Portfolio Choice with Parameter Uncertainty (2007)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)A UTILITY FUNCTION DEPENDING ON THE FIRST THREE MOMENTS (1969)Portfolio selection and skewness: Evidence from international stock markets (1997)Optimal Portfolio Allocation under Higher Moments (2006)A multi-period fuzzy portfolio optimization model with minimum transaction lots (2014)Generalized decision rule approximations for stochastic programming via liftings (2014)A survey of adjustable robust optimization (2018)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Conditional value-at-risk for general loss distributions (2002)The Capital Asset Pricing Model: Theory and Evidence (2004)
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References

  • 1952Portfolio Selection4,609 cited
  • 2010Portfolio selection with higher moments535 cited
  • 2008Multi-period portfolio optimization with linear control policies151 cited
  • 1970Efficient Portfolio Selection with Quadratic and Cubic Utility146 cited
  • 1975Multidimensional Security Pricing100 cited
  • 2009An Affine Control Method for Optimal Dynamic Asset Allocation with Transaction Costs59 cited
  • 2015On a New Paradigm for Stock Trading Via a Model-Free Feedback Controller53 cited
  • 2006Model predictive control for portfolio selection44 cited
  • 2011On performance limits of feedback control-based stock trading strategies39 cited
  • 2011On arbitrage possibilities via linear feedback in an idealized Brownian Motion stock market37 cited
  • 2008On Trading of Equities: A Robust Control Paradigm36 cited
  • 2010Scenario-based stochastic model predictive control for dynamic option hedging29 cited
  • 2012On market-neutral stock trading arbitrage via linear feedback27 cited
  • 2016On Stock Trading Via Feedback Control When Underlying Stock Returns Are Discontinuous27 cited
  • 2008Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach

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24 cited
  • 2013On stock trading using a PI controller in an idealized market: The robust positive expectation property21 cited
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    • 2020A Generalized Framework for Simultaneous Long-Short Feedback Trading15 cited