Model Predictive Control for Optimal Pairs Trading Portfolio with Gross Exposure and Transaction Cost Constraints
Author:
Funder
Japan Society for the Promotion of Science
Publisher
Springer Science and Business Media LLC
Subject
Finance
Link
http://link.springer.com/article/10.1007/s10690-017-9236-z/fulltext.html
Reference37 articles.
1. Bemporad, A., Bellucci, L., & Gabbriellini, T. (2014). Dynamic option hedging via stochastic model predictive control based on scenario simulation. Quantitative Finance, 14, 1739–1751.
2. Bemporad, A., Gabbriellini, T., Puglia, L., & Bellucci, L. (2010). Scenario-based stochastic model predictive control for dynamic option hedging. In Proceedings of 49th IEEE conference on decision and control (pp 3216–3221). Atlanta, GA.
3. Bemporad, A., Puglia, L., & Gabbriellini. T. (2011). A stochastic model predictive control approach to dynamic option hedging with transaction costs. In Proceedings of the American control conference. San Francisco.
4. Boyd, S., & Vandenberghe, L. (2004). Convex optimization. Cambridge: Cambridge Press.
5. Deshpande, A., & Barmish, B. R. (2016). A general framework for pairs trading with a control-theoretic point of view. In Proceedings of the IEEE conference on control applications (pp. 761–766).
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