Model Predictive Control for Optimal Pairs Trading Portfolio with Gross Exposure and Transaction Cos...
Model Predictive Control for Optimal Pairs Trading Portfolio with Gross Exposure and Transaction Cost Constraints
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Publisher
Tokyo: Springer Japan
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English
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Tokyo: Springer Japan
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Model predictive control (MPC) is a flexible yet tractable technique in control engineering that recently has gained much attention in the area of finance, particularly for its application to portfolio optimization. In this paper, we extend the MPC with linear feedback setting in Yamada and Primbs (in: Proceedings of the IEEE conference on decision...
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Model Predictive Control for Optimal Pairs Trading Portfolio with Gross Exposure and Transaction Cost Constraints
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TN_cdi_proquest_journals_1975832717
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_1975832717
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ISSN
1387-2834
E-ISSN
1573-6946
DOI
10.1007/s10690-017-9236-z
