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Avtomatika i Telemekhanika, 2005, Issue 4, Pages 84–97
(Mi at1355)
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This article is cited in 45 scientific papers (total in 45 papers)
Stochastic Systems
Predictive control of random-parameter systems with multiplicative noise. Application to investment portfolio optimization
V. V. Dombrovskii, D. V. Dombrovskii, E. A. Lyashenko Tomsk State University
Abstract:
For the discrete systems with random parameters perturbed by additive and multiplicative noise depending on the states and controls, design of the predictive model-based control strategies was considered. Predictive control strategies of closed-loop and open-loop types were developed. The results obtained were applied to dynamic optimization of the investment portfolio under constrained volumes of trade operations.
Citation:
V. V. Dombrovskii, D. V. Dombrovskii, E. A. Lyashenko, “Predictive control of random-parameter systems with multiplicative noise. Application to investment portfolio optimization”, Avtomat. i Telemekh., 2005, no. 4, 84–97; Autom. Remote Control, 66:4 (2005), 583–595
Linking options:
https://www.mathnet.ru/eng/at1355 https://www.mathnet.ru/eng/at/y2005/i4/p84
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Statistics & downloads: |
Abstract page: | 406 | Full-text PDF : | 136 | References: | 42 | First page: | 1 |
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