Model predictive control for multi-period portfolio optimization: a trading-oriented learning approach
Author:
Affiliation:
1. Department of Electronics, Information and Bioengineering, Politecnico di Milano, Milano, Italy
Publisher
Informa UK Limited
Link
https://www.tandfonline.com/doi/pdf/10.1080/00207179.2024.2366428
Reference22 articles.
1. Covariance Matrix Estimation under Total Positivity for Portfolio Selection*
2. Asset Allocation
3. Busseti E. (2018). Portfolio management and optimal execution via convex optimization [PhD thesis].
4. Multiperiod Consumption and Investment Behavior with Convex Transactions Costs
5. Coqueret G. & Milhau V. (2014). Estimating covariance matrices for portfolio optimization. ERI Scientific Beta White Paper.
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