• DocumentCode
    2734863
  • Title

    An Experiment of Control-theoretical Model in Dynamic Portfolio Management

  • Author

    Wang, Jie ; Xu, Chunhui ; Inoue, Akiya

  • Author_Institution
    Chiba Inst. of Technol., Chiba
  • fYear
    2007
  • fDate
    5-7 Sept. 2007
  • Firstpage
    114
  • Lastpage
    114
  • Abstract
    Rebalancing times are assumed to be given in most models for portfolio management, which is neither necessary nor true. We proposed a control-theoretical model in [1] which does not fix the rebalancing times beforehand. In order to examine the advantages of this model, the present paper does portfolio management experiments with real data from the New York stock market.
  • Keywords
    control theory; investment; stock markets; New York stock market; control-theoretical model; dynamic portfolio management; rebalancing times; Cost function; Information management; Information science; Monitoring; Portfolios; Regulators; Security; Stock markets; Technology management; Watches;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Innovative Computing, Information and Control, 2007. ICICIC '07. Second International Conference on
  • Conference_Location
    Kumamoto
  • Print_ISBN
    0-7695-2882-1
  • Type

    conf

  • DOI
    10.1109/ICICIC.2007.141
  • Filename
    4427759
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=2734863