A Stochastic Receding Horizon Control Approach to Constrained Index Tracking
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References listed on IDEAS
- 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.
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- 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.
- 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.
- Tim Leung & Brian Ward, 2017. "Dynamic Index Tracking and Risk Exposure Control Using Derivatives," Papers 1705.10454, arXiv.org.
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KeywordsComputational methods; Constraints; Index tracking; Receding horizon control; Stochastic control;
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