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PID feedback controller used as a tactical asset allocation technique: The G.A.M. model

Author

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  • Gandolfi, G.
  • Sabatini, A.
  • Rossolini, M.

Abstract

The objective of this paper is to illustrate a tactical asset allocation technique utilizing the PID controller. The proportional–integral–derivative (PID) controller is widely applied in most industrial processes; it has been successfully used for over 50 years and it is used by more than 95% of the plants processes. It is a robust and easily understood algorithm that can provide excellent control performance in spite of the diverse dynamic characteristics of the process plant.

Suggested Citation

  • Gandolfi, G. & Sabatini, A. & Rossolini, M., 2007. "PID feedback controller used as a tactical asset allocation technique: The G.A.M. model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 383(1), pages 71-78.
    • Handle: RePEc:eee:phsmap:v:383:y:2007:i:1:p:71-78
    DOI: 10.1016/j.physa.2007.04.104
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    References listed on IDEAS

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    1. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    2. Hayne E. Leland, 1996. "Optimal Asset Rebalancing in the Presence of Transactions Costs," Finance 9610004, University Library of Munich, Germany, revised 29 Oct 1996.
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    Cited by:

    1. Iqbal Owadally & Steven Haberman & Denise Gómez Hernández, 2013. "A Savings Plan With Targeted Contributions," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(4), pages 975-1000, December.
    2. Gino Gandolfi & Antonella Sabatini & Monica Rossolini, 2011. "A new asset allocation technique to reduce financial portfolio risk," Journal of Asset Management, Palgrave Macmillan, vol. 12(6), pages 418-425, December.

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