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PID feedback controller used as a tactical asset allocation technique: The G.A.M. model

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  • Gandolfi, G.
  • Sabatini, A.
  • Rossolini, M.

Abstract

The objective of this paper is to illustrate a tactical asset allocation technique utilizing the PID controller. The proportional–integral–derivative (PID) controller is widely applied in most industrial processes; it has been successfully used for over 50 years and it is used by more than 95% of the plants processes. It is a robust and easily understood algorithm that can provide excellent control performance in spite of the diverse dynamic characteristics of the process plant.

Suggested Citation

  • Gandolfi, G. & Sabatini, A. & Rossolini, M., 2007. "PID feedback controller used as a tactical asset allocation technique: The G.A.M. model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 383(1), pages 71-78.
    • Handle: RePEc:eee:phsmap:v:383:y:2007:i:1:p:71-78
    DOI: 10.1016/j.physa.2007.04.104
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    References listed on IDEAS

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    1. Hayne E. Leland, 1996. "Optimal Asset Rebalancing in the Presence of Transactions Costs," Finance 9610004, University Library of Munich, Germany, revised 29 Oct 1996.
    2. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
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    Cited by:

    1. Iqbal Owadally & Steven Haberman & Denise Gómez Hernández, 2013. "A Savings Plan With Targeted Contributions," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(4), pages 975-1000, December.
    2. Gino Gandolfi & Antonella Sabatini & Monica Rossolini, 2011. "A new asset allocation technique to reduce financial portfolio risk," Journal of Asset Management, Palgrave Macmillan, vol. 12(6), pages 418-425, December.

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