Investment portfolio tracking using model predictive control-Reference-Cited by-同舟云学术

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Investment portfolio tracking using model predictive control

Published:2022-09-26 Issue:1 Volume:44 Page:259-274
ISSN:0143-2087
Container-title:Optimal Control Applications and Methods
language:en
Short-container-title:Optim Control Appl Methods

Author:

de Melo Maisa Kely¹²^ORCID,Nogueira Cardoso Rodrigo Tomás²^ORCID,Argolo Jesus Tales³^ORCID,Vianna Raffo Guilherme⁴^ORCID

Affiliation:

1. Mathematics Department Formiga Campus of the Federal Institute of Minas Gerais Minas Gerais Brazil

2. Mathematics Department Federal Center of Technological Education of Minas Gerais Minas Gerais Brazil

3. Computing Department Federal Center of Technological Education of Minas Gerais Minas Gerais Brazil

4. Department of Electronic Engineering Federal University of Minas Gerais Minas Gerais Brazil

Funder

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior

Fundação de Amparo à Pesquisa do Estado de Minas Gerais

Publisher

Wiley

Subject

Applied Mathematics,Control and Optimization,Software,Control and Systems Engineering

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/oca.2937

Reference39 articles.

1. Active and passive portfolio management with latent factors

2. Metaheuristics for Sparse Index-Tracking Problem: A Case Study on FTSE 100

3. AnaduK KruttliMS McCabePE OsambelaE.The shift from active to passive investing: potential risks to financial stability?2020;76:23‐39.

4. GhahtaraniA SaifA GhasemiA.Robust portfolio selection problems: a comprehensive review. arXiv preprint arXiv:2103.13806 2021.

5. Robust portfolio selection for index tracking

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3. Selecting and Weighting Mechanisms in Stock Portfolio Design Based on Clustering Algorithm and Price Movement Analysis;Mathematics;2023-10-02

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