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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

Abstract

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Suggested Citation

  • James Primbs & Chang Sung, 2008. "A Stochastic Receding Horizon Control Approach to Constrained Index Tracking," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 15(1), pages 3-24, March.
  • Handle: RePEc:kap:apfinm:v:15:y:2008:i:1:p:3-24
    DOI: 10.1007/s10690-008-9073-1
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    References listed on IDEAS

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    1. 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.
    2. 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.
    3. 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.
    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, vol. 8(3), pages 299-312.
    5. 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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    Citations

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    Cited by:

    1. Vladimir Dombrovskii & Tatyana Obyedko, 2014. "Dynamic Investment Portfolio Optimization under Constraints in the Financial Market with Regime Switching using Model Predictive Control," Papers 1410.1136, arXiv.org.
    2. Vladimir Dombrovskii & Tatyana Obedko, 2014. "Portfolio Optimization in the Financial Market with Correlated Returns under Constraints, Transaction Costs and Different Rates for Borrowing and Lending," Papers 1410.8042, arXiv.org.
    3. Tim Leung & Brian Ward, 2017. "Dynamic Index Tracking and Risk Exposure Control Using Derivatives," Papers 1705.10454, arXiv.org.

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