A Stochastic Receding Horizon Control Approach to Constrained Index Tracking
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Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 15 (2008)
Issue (Month): 1 (March)
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Web page: http://springerlink.metapress.com/link.asp?id=102851
Computational methods; Constraints; Index tracking; Receding horizon control; Stochastic control;
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- Beasley, J. E. & Meade, N. & Chang, T. -J., 2003. "An evolutionary heuristic for the index tracking problem," European Journal of Operational Research, Elsevier, vol. 148(3), pages 621-643, August.
- Florian Herzog & Gabriel Dondi & Simon Keel & Lorenz M. Schumani & Hans P. Geering, 2007. "Solving ALM problems via sequential stochastic programming," Quantitative Finance, Taylor & Francis Journals, vol. 7(2), pages 231-244.
- Peter Meindl & James Primbs, 2008. "Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach," Quantitative Finance, Taylor & Francis Journals, vol. 8(3), pages 299-312.
- Florian Herzog & Gabriel Dondi & Hans P. Geering, 2007. "Stochastic Model Predictive Control And Portfolio Optimization," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 203-233.
- Gaivoronski, Alexei A. & Krylov, Sergiy & van der Wijst, Nico, 2005. "Optimal portfolio selection and dynamic benchmark tracking," European Journal of Operational Research, Elsevier, vol. 163(1), pages 115-131, May.
- Rudolf, Markus & Wolter, Hans-Jurgen & Zimmermann, Heinz, 1999. "A linear model for tracking error minimization," Journal of Banking & Finance, Elsevier, vol. 23(1), pages 85-103, January.
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