{"title":"多期投资组合优化的模型预测控制：以交易为导向的学习方法","authors":"F. Abbracciavento, F. Tappi, S. Formentin","doi":"10.1080/00207179.2024.2366428","DOIUrl":null,"url":null,"abstract":"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 of ...","PeriodicalId":13877,"journal":{"name":"International Journal of Control","volume":"9 1","pages":""},"PeriodicalIF":1.6000,"publicationDate":"2024-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Model predictive control for multi-period portfolio optimization: a trading-oriented learning approach\",\"authors\":\"F. Abbracciavento, F. Tappi, S. Formentin\",\"doi\":\"10.1080/00207179.2024.2366428\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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 of ...\",\"PeriodicalId\":13877,\"journal\":{\"name\":\"International Journal of Control\",\"volume\":\"9 1\",\"pages\":\"\"},\"PeriodicalIF\":1.6000,\"publicationDate\":\"2024-06-18\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"International Journal of Control\",\"FirstCategoryId\":\"94\",\"ListUrlMain\":\"https://doi.org/10.1080/00207179.2024.2366428\",\"RegionNum\":4,\"RegionCategory\":\"计算机科学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"AUTOMATION & CONTROL SYSTEMS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Journal of Control","FirstCategoryId":"94","ListUrlMain":"https://doi.org/10.1080/00207179.2024.2366428","RegionNum":4,"RegionCategory":"计算机科学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"AUTOMATION & CONTROL SYSTEMS","Score":null,"Total":0}
Model predictive control for multi-period portfolio optimization: a trading-oriented learning approach
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 of ...
期刊介绍：
The International Journal of Control publishes top quality, peer reviewed papers in all areas, both established and emerging, of control theory and its applications.
Readership: Development engineers and research workers in industrial automatic control. Research workers and students in automatic control and systems science in universities. Teachers of advanced automatic control in universities. Applied mathematicians and physicists working in automatic control and systems analysis. Development and research workers in fields where automatic control is widely applied: process industries, energy utility industries and advanced manufacturing, embedded systems and robotics.
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