相关论文: A systematic literature review on solution approac…

This work proposes a finite-horizon optimal control strategy to solve the tracking problem while providing avoidance features to the closed-loop system. Inspired by the set-point tracking model predictive control (MPC) framework, the…

Matrix completion problem has been investigated under many different conditions since Netflix announced the Netflix Prize problem. Many research work has been done in the field once it has been discovered that many real life dataset could…

In this paper, a heuristic method based on TabuSearch and TokenRing Search is being used in order to solve the Portfolio Optimization Problem. The seminal mean-variance model of Markowitz is being considered with the addition of cardinality…

A constant weight asset allocation is a popular investment strategy and is optimal under a suitable continuous model. We study the tracking error for the target continuous rebalancing strategy by a feasible discrete-in-time rebalancing…

The problem of attitude tracking using rotation matrices is addressed using an approach which combines inverse optimality and $\mathcal{L}_{2}$ disturbance attenuation. Conditions are provided which solve the inverse optimal nonlinear…

Mean-variance portfolio optimization problems often involve separable nonconvex terms, including penalties on capital gains, integer share constraints, and minimum position and trade sizes. We propose a heuristic algorithm for such problems…

In this work, we propose a passivity-based control approach that addresses the trajectory tracking problem for a class of mechanical systems that comprises a broad range of robotic arms. The resulting controllers can be naturally saturated…

In academic literature portfolio risk management and hedging are often versed in the language of stochastic control and Hamilton--Jacobi--Bellman~(HJB) equations in continuous time. In practice the continuous-time framework of stochastic…

Monitoring means to observe a system for any changes which may occur over time, using a monitor or measuring device of some sort. In this paper we formulate a problem of monitoring dates of maximal risk of a financial position. Thus, the…

Traditional risk-adjusted returns, such as the Treynor, Sharpe, Sortino, and Information ratios, have been pivotal in portfolio asset allocation, focusing on minimizing risk while maximizing profit. Nevertheless, these metrics often fail to…

Many financial and economic variables, including financial returns, exhibit nonlinear dependence, heterogeneity and heavy-tailedness. These properties may make problematic the analysis of (non-)efficiency and volatility clustering in…

This paper considers the mean variance portfolio management problem. We examine portfolios which contain both primary and derivative securities. The challenge in this context is due to portfolio's nonlinearities. The delta-gamma…

In this paper, we propose a data-driven sliding window approach to solve a log-optimal portfolio problem. In contrast to many of the existing papers, this approach leads to a trading strategy with time-varying portfolio weights rather than…

Motivated by the current global high inflation scenario, we aim to discover a dynamic multi-period allocation strategy to optimally outperform a passive benchmark while adhering to a bounded leverage limit. To this end, we formulate an…

Previous literature shows that prevalent risk measures such as Value at Risk or Expected Shortfall are ineffective to curb excessive risk-taking by a tail-risk-seeking trader with S-shaped utility function in the context of portfolio…

Tracking the build-up of financial vulnerabilities is a key component of financial stability policy. Due to the complexity of the financial system, this task is daunting, and there have been several proposals on how to manage this goal. One…

We address the extreme value problem of a one-dimensional dynamical system approaching a fixed target while constrained to avoid a fixed set which can be thought of as a small hole. The presence of the latter influences the extremal index…

We consider the problem of selecting a portfolio of assets that provides the investor a suitable balance of expected return and risk. With respect to the seminal mean-variance model of Markowitz, we consider additional constraints on the…

In this work we focus on efficient heuristics for solving a class of stochastic planning problems that arise in a variety of business, investment, and industrial applications. The problem is best described in terms of future buy and sell…

Trajectory following is one of the complicated control problems when its dynamics are nonlinear, stochastic and include a large number of parameters. The problem has significant difficulties including a large number of trials required for…