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A Stochastic Receding Horizon Control Approach to Constrained Index Tracking

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  • James Primbs

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  • Chang Sung
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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s10690-008-9073-1
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    Bibliographic Info

    Article provided by Springer in its journal Asia-Pacific Financial Markets.

    Volume (Year): 15 (2008)
    Issue (Month): 1 (March)
    Pages: 3-24

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    Handle: RePEc:kap:apfinm:v:15:y:2008:i:1:p:3-24

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    Web page: http://springerlink.metapress.com/link.asp?id=102851

    Related research

    Keywords: Computational methods; Constraints; Index tracking; Receding horizon control; Stochastic control;

    References

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    1. 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.
    2. 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, Taylor & Francis Journals, vol. 7(2), pages 231-244.
    3. 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.
    4. 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, Taylor & Francis Journals, vol. 8(3), pages 299-312.
    5. Gaivoronski, Alexei A. & Krylov, Sergiy & van der Wijst, Nico, 2005. "Optimal portfolio selection and dynamic benchmark tracking," European Journal of Operational Research, Elsevier, Elsevier, vol. 163(1), pages 115-131, May.
    6. Beasley, J. E. & Meade, N. & Chang, T. -J., 2003. "An evolutionary heuristic for the index tracking problem," European Journal of Operational Research, Elsevier, Elsevier, vol. 148(3), pages 621-643, August.
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