A Stochastic Receding Horizon Control Approach to Constrained Index Tracking
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DOI: 10.1007/s10690-008-9073-1
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References listed on IDEAS
- Beasley, J. E. & Meade, N. & Chang, T. -J., 2003. "An evolutionary heuristic for the index tracking problem," European Journal of Operational Research, Elsevier, vol. 148(3), pages 621-643, August.
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Cited by:
- 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.
- 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.
- Tim Leung & Brian Ward, 2018.
"Dynamic Index Tracking and Risk Exposure Control Using Derivatives,"
Applied Mathematical Finance, Taylor & Francis Journals, vol. 25(2), pages 180-212, March.
- Tim Leung & Brian Ward, 2017. "Dynamic Index Tracking and Risk Exposure Control Using Derivatives," Papers 1705.10454, arXiv.org.
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Keywords
Computational methods; Constraints; Index tracking; Receding horizon control; Stochastic control;All these keywords.
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