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Avtomatika i Telemekhanika, 2005, Issue 4, Pages 84–97 (Mi at1355)  
This article is cited in 46 scientific papers (total in 46 papers)

Stochastic Systems

Predictive control of random-parameter systems with multiplicative noise. Application to investment portfolio optimization

V. V. Dombrovskii, D. V. Dombrovskii, E. A. Lyashenko

Tomsk State University
Full-text PDF (485 kB) Citations (46)
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Abstract: For the discrete systems with random parameters perturbed by additive and multiplicative noise depending on the states and controls, design of the predictive model-based control strategies was considered. Predictive control strategies of closed-loop and open-loop types were developed. The results obtained were applied to dynamic optimization of the investment portfolio under constrained volumes of trade operations.
Presented by the member of Editorial Board: A. I. Kibzun

Received: 19.03.2004
English version:
Automation and Remote Control, 2005, Volume 66, Issue 4, Pages 583–595
DOI: https://doi.org/10.1007/s10513-005-0102-5
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: V. V. Dombrovskii, D. V. Dombrovskii, E. A. Lyashenko, “Predictive control of random-parameter systems with multiplicative noise. Application to investment portfolio optimization”, Avtomat. i Telemekh., 2005, no. 4, 84–97; Autom. Remote Control, 66:4 (2005), 583–595
Citation in format AMSBIB
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\by V.~V.~Dombrovskii, D.~V.~Dombrovskii, E.~A.~Lyashenko
\paper Predictive control of random-parameter systems with multiplicative noise. Application to investment portfolio optimization
\jour Avtomat. i Telemekh.
\yr 2005
\issue 4
\pages 84--97
\mathnet{http://mi.mathnet.ru/at1355}
\mathscinet{https://mathscinet.ams.org/mathscinet-getitem?mr=2140059}
\zmath{https://zbmath.org/?q=an:1114.93099}
\transl
\jour Autom. Remote Control
\yr 2005
\vol 66
\issue 4
\pages 583--595
\crossref{https://doi.org/10.1007/s10513-005-0102-5}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-17444422486}
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    • This publication is cited in the following 46 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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