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Model predictive control for optimal portfolios with cointegrated pairs of stocks

https://doi.org/10.1109/cdc.2012.6426072
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/j.jedc.2003.09.005openalex-snapshot
Strategic asset allocation in a continuous-time VAR model
inferredcites →https://doi.org/10.1016/s0031-8914(59)91931-7openalex-snapshot
On the theory of brownian motion
inferredcites →https://doi.org/10.1080/01621459.1979.10482531openalex-snapshot
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
inferredcites →https://doi.org/10.1093/0198296940.001.0001openalex-snapshot
Strategic Asset Allocation
inferredcites →https://doi.org/10.1103/physrev.36.823openalex-snapshot
On the Theory of the Brownian Motion
inferredcites →https://doi.org/10.1109/acc.2008.4586628openalex-snapshot
Optimal pairs trading: A stochastic control approach
inferredcites →https://doi.org/10.2307/1913236openalex-snapshot
Co-Integration and Error Correction: Representation, Estimation, and Testing
inferredcites →https://doi.org/10.2307/2286348openalex-snapshot
Distribution of the Estimators for Autoregressive Time Series With a Unit Root
inferredcites →https://doi.org/10.2307/2938278openalex-snapshot
Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
inferredcites →https://doi.org/10.2307/2975974openalex-snapshot
Portfolio Selection

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.4723567openalex-extracted
Finding Moving-Band Statistical Arbitrages Convex-Concave Optimization
inferred← citeshttps://doi.org/10.1002/oca.2937openalex-snapshot
Investment portfolio tracking using model predictive control
inferred← citeshttps://doi.org/10.1007/978-3-319-77489-3_27openalex-snapshot
Applications of MPC to Finance
inferred← citeshttps://doi.org/10.1007/s10690-017-9236-zopenalex-snapshot
Model Predictive Control for Optimal Pairs Trading Portfolio with Gross Exposure and Transaction Cost Constraints
inferred← citeshttps://doi.org/10.1007/s11081-024-09933-0openalex-snapshot
Finding moving-band statistical arbitrages via convex–concave optimization
inferred← citeshttps://doi.org/10.1016/j.eswa.2013.11.043openalex-snapshot
Multi-period portfolio selection using kernel-based control policy with dimensionality reduction
inferred← citeshttps://doi.org/10.1057/s41260-025-00405-3openalex-snapshot
A Markowitz approach to managing a dynamic basket of moving-band statistical arbitrages
inferred← citeshttps://doi.org/10.1080/00207721.2020.1814892openalex-snapshot
Model predictive control design for constrained Markov jump bilinear stochastic systems with an application in finance
inferred← citeshttps://doi.org/10.1080/14697688.2017.1374549openalex-snapshot
Pairs trading under transaction costs using model predictive control
inferred← citeshttps://doi.org/10.15807/jorsj.60.244openalex-snapshot
OPTIMAL MULTIPLE PAIRS TRADING STRATEGYUSING DERIVATIVE FREE OPTIMIZATIONUNDER ACTUAL INVESTMENT MANAGEMENT CONDITIONS
inferred← citeshttps://doi.org/10.21203/rs.3.rs-4196380/v1openalex-snapshot
Finding Moving-Band Statistical Arbitrages via Convex-Concave Optimization
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