Title :
Investment portfolio optimisation with transaction costs and constraints using model predictive control
Author :
Dombrovskiy, V.V. ; Dombrovskiy, D.V. ; Lyashenko, E.A.
Author_Institution :
Tomsk State Univ., Russia
fDate :
26 June-3 July 2004
Abstract :
The investment portfolio management task with proportional transaction costs and trading volume constraints is considered. We propose to use the model predictive control methodology in order to obtain feedback trading strategies. Optimal strategies computation includes the decision of the sequence of quadratic programming tasks. The numerical modelling results are presented.
Keywords :
constraint theory; costing; decision making; feedback; investment; predictive control; quadratic programming; decision making; feedback trading strategies; investment portfolio optimisation; model predictive control; numerical modelling; quadratic programming; trading volume constraints; transaction costs; Constraint optimization; Cost function; Feedback; Investments; Numerical models; Optimal control; Portfolios; Predictive control; Predictive models; Stochastic processes;
Conference_Titel :
Science and Technology, 2004. KORUS 2004. Proceedings. The 8th Russian-Korean International Symposium on
Print_ISBN :
0-7803-8383-4
DOI :
10.1109/KORUS.2004.1555724
