Investment portfolio tracking using model predictive control

The composition of an investment portfolio aiming to increase the financial returns while reducing the exposure to risk is a topic of growing interest in the world. In this direction, we propose a model predictive control (MPC) strategy in order to optimize the investment portfolio selection taking...

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Veröffentlicht in:	Optimal control applications & methods 2023-01, Vol.44 (1), p.259-274
Hauptverfasser:	Melo, Maisa Kely, Nogueira Cardoso, Rodrigo Tomás, Argolo Jesus, Tales, Vianna Raffo, Guilherme
Format:	Artikel
Sprache:	eng
Schlagworte:	Algorithms Data exchange Investments model predictive control Optimal control Optimization models portfolio selection portfolio tracking Predictive control Stock exchanges Strategy Tracking control Tracking errors
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