Multiobjective Model Predictive Control for portfolio optimization with cardinality constraint

Model Predictive Control has been shown to be adequate to solve portfolio optimization problems because of its ability to perform the dynamic readjustment of the portfolio considering the market expectations. To consider both wealth and risk and real issues imposed by the financial market, this work...

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Vydáno v:	Expert systems with applications Ročník 205; s. 117639
Hlavní autoři:	de Melo, Maísa Kely, Cardoso, Rodrigo Tomás Nogueira, Jesus, Tales Argolo
Médium:	Journal Article
Jazyk:	angličtina
Vydáno:	Elsevier Ltd 01.11.2022
Témata:	Cardinality constraint Model Predictive Control Multiobjective Optimization Portfolio selection Portfolio selection Multiobjective Optimization Model Predictive Control Cardinality constraint
ISSN:	0957-4174, 1873-6793
On-line přístup:	Získat plný text
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