Stochastic control with affine dynamics and extended quadratic costs
An extended quadratic function is a quadratic function plus the indicator function of an affine
set, ie, a quadratic function with embedded linear equality constraints. In this article, we …
set, ie, a quadratic function with embedded linear equality constraints. In this article, we …
Model predictive control for multi-period portfolio optimization: a trading-oriented learning approach
F Abbracciavento, F Tappi… - International Journal of …, 2024 - Taylor & Francis
Portfolio optimization aims at finding the optimal allocation of a given wealth among different
assets to maximize an investor's utility function. A major critical issue concerns the prediction …
assets to maximize an investor's utility function. A major critical issue concerns the prediction …
A Geometric Approach To Asset Allocation With Investor Views
In this article, a geometric approach to incorporating investor views in portfolio construction
is presented. In particular, the proposed approach utilizes the notion of generalized …
is presented. In particular, the proposed approach utilizes the notion of generalized …
Data-driven design of model-predictive controls for portfolio optimization
G Cesaro - 2020 - politesi.polimi.it
In modern finance the theory of portfolio management combines probability and optimization
theories to model the behaviour of agents in economic change. The fundamental goal of …
theories to model the behaviour of agents in economic change. The fundamental goal of …