DocumentCode
2741436
Title
Investment portfolio optimisation with transaction costs and constraints using model predictive control
Author
Dombrovskiy, V.V. ; Dombrovskiy, D.V. ; Lyashenko, E.A.
Author_Institution
Tomsk State Univ., Russia
Volume
3
fYear
2004
fDate
26 June-3 July 2004
Firstpage
202
Abstract
The investment portfolio management task with proportional transaction costs and trading volume constraints is considered. We propose to use the model predictive control methodology in order to obtain feedback trading strategies. Optimal strategies computation includes the decision of the sequence of quadratic programming tasks. The numerical modelling results are presented.
Keywords
constraint theory; costing; decision making; feedback; investment; predictive control; quadratic programming; decision making; feedback trading strategies; investment portfolio optimisation; model predictive control; numerical modelling; quadratic programming; trading volume constraints; transaction costs; Constraint optimization; Cost function; Feedback; Investments; Numerical models; Optimal control; Portfolios; Predictive control; Predictive models; Stochastic processes;
fLanguage
English
Publisher
ieee
Conference_Titel
Science and Technology, 2004. KORUS 2004. Proceedings. The 8th Russian-Korean International Symposium on
Print_ISBN
0-7803-8383-4
Type
conf
DOI
10.1109/KORUS.2004.1555724
Filename
1555724
Link To Document