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Vladimir Dombrovskii & Tatiana Pashinskaya. (2020) Model predictive control design for constrained Markov jump bilinear stochastic systems with an application in finance. International Journal of Systems Science 51:16, pages 3269-3284.
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James A. Primbs & Yuji Yamada. (2018) Pairs trading under transaction costs using model predictive control. Quantitative Finance 18:6, pages 885-895.
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Alberto Bemporad, Leonardo Bellucci & Tommaso Gabbriellini. (2014) Dynamic option hedging via stochastic model predictive control based on scenario simulation. Quantitative Finance 14:10, pages 1739-1751.
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Articles from other publishers (37)
Shuaidong Zhao & Kuilin Zhang. (2020) A distributionally robust stochastic optimization-based model predictive control with distributionally robust chance constraints for cooperative adaptive cruise control under uncertain traffic conditions. Transportation Research Part B: Methodological 138, pages 144-178.
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Vladimir Dombrovskii & Tatiana Pashinskaya. (2019) Design of model predictive control for constrained Markov jump linear systems with multiplicative noises and online portfolio selection. International Journal of Robust and Nonlinear Control 30:3, pages 1050-1070.
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Mogens Graf Plessen, Laura Puglia, Tommaso Gabbriellini & Alberto Bemporad. (2017) Dynamic option hedging with transaction costs: A stochastic model predictive control approach. International Journal of Robust and Nonlinear Control 29:15, pages 5058-5077.
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James A. Primbs. 2019. Handbook of Model Predictive Control. Handbook of Model Predictive Control
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Vladimir Dombrovskii & Tatiana Obedko. (2017) Feedback predictive control strategies for investment in the financial market with serially correlated returns subject to constraints and trading costs. Optimal Control Applications and Methods 38:6, pages 908-921.
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Mogens Graf Plessen & Alberto Bemporad. (2017) Parallel investments in multiple call and put options for the tracking of desired profit profiles. Parallel investments in multiple call and put options for the tracking of desired profit profiles.
Yuji Yamada. (2017) Optimal Hedging of Basket Barrier Options with Additive Models and Its Application to Equity Value Separation Problem. Asia-Pacific Financial Markets 24:1, pages 1-18.
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B. Ross Barmish & James A. Primbs. (2016) On a New Paradigm for Stock Trading Via a Model-Free Feedback Controller. IEEE Transactions on Automatic Control 61:3, pages 662-676.
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Basil Kouvaritakis & Mark CannonBasil Kouvaritakis & Mark Cannon. 2016. Model Predictive Control. Model Predictive Control
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Vladimir Dombrovskii & Tatyana Obedko. (2015) Portfolio optimization in the financial market with regime switching under constraints and transaction costs using model predictive control. Portfolio optimization in the financial market with regime switching under constraints and transaction costs using model predictive control.
Jiwei Li, Dewei Li & Yugeng Xi. (2015) A scenario-based convex formulation for probabilistic linear constraints in MPC. A scenario-based convex formulation for probabilistic linear constraints in MPC.
Vladimir Dombrovskii & Tatyana Obyedko. (2015) Model predictive control for constrained systems with serially correlated stochastic parameters and portfolio optimization. Automatica 54, pages 325-331.
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David Q. Mayne. (2014) Model predictive control: Recent developments and future promise. Automatica 50:12, pages 2967-2986.
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Jooyoung Park, Jungdong Lim, Wonbu Lee, Seunghyun Ji, Keehoon Sung & Kyungwook Park. (2014) Modern Probabilistic Machine Learning and Control Methods for Portfolio Optimization. International Journal of Fuzzy Logic and Intelligent Systems 14:2, pages 73-83.
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Farzad Noorian & Philip H. W. Leong. (2014) Dynamic hedging of foreign exchange risk using stochastic model predictive control. Dynamic hedging of foreign exchange risk using stochastic model predictive control.
Fajin Wei & Andrea Lecchini-Visintini. (2014) On the stability of receding horizon control for continuous-time stochastic systems. Systems & Control Letters 63, pages 43-49.
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B. Ross Barmish, James A. Primbs, Shirzad Malekpour & Sean Warnick. (2013) On the basics for simulation of feedback-based stock trading strategies: An invited tutorial session. On the basics for simulation of feedback-based stock trading strategies: An invited tutorial session.
Shirzad Malekpour, James A. Primbs & B. Ross Barmish. (2013) On stock trading using a PI controller in an idealized market: The robust positive expectation property. On stock trading using a PI controller in an idealized market: The robust positive expectation property.
Jooyoung Park, Dongsu Yang & Kyungwook Park. (2013) Approximate Dynamic Programming-Based Dynamic Portfolio Optimization for Constrained Index Tracking. International Journal of Fuzzy Logic and Intelligent Systems 13:1, pages 19-30.
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Shirzad Malekpour & B. Ross Barmish. (2012) How useful are mean-variance considerations in stock trading via feedback control?. How useful are mean-variance considerations in stock trading via feedback control?.
Michel Fliess & Cedric Join. (2012) Preliminary remarks on option pricing and dynamic hedging. Preliminary remarks on option pricing and dynamic hedging.
J. A. Primbs & B. R. Barmish. (2012) ACC 2012 tutorial session: An introduction to hedged-like stock trading from a control theoretic point of view. ACC 2012 tutorial session: An introduction to hedged-like stock trading from a control theoretic point of view.
B. R. Barmish & J. A. Primbs. (2012) On market-neutral stock trading arbitrage via linear feedback. On market-neutral stock trading arbitrage via linear feedback.
Yuji Yamada. (2012) Optimal hedging of basket options using smooth payoff functions: Comparison with super-hedging strategy. Optimal hedging of basket options using smooth payoff functions: Comparison with super-hedging strategy.
Yuji Yamada. (2011) Properties of Optimal Smooth Functions in Additive Models for Hedging Multivariate Derivatives. Asia-Pacific Financial Markets 19:2, pages 149-179.
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Panagiotis Patrinos, Sergio Trimboli & Alberto Bemporad. (2011) Stochastic MPC for real-time market-based optimal power dispatch. Stochastic MPC for real-time market-based optimal power dispatch.
B. Ross Barmish & James A. Primbs. (2011) On arbitrage possibilities via linear feedback in an idealized Brownian Motion stock market. On arbitrage possibilities via linear feedback in an idealized Brownian Motion stock market.
James A. Primbs & B. Ross Barmish. (2011) ACC 2011 tutorial session: An introduction to option trading from a control perspective. ACC 2011 tutorial session: An introduction to option trading from a control perspective.
Alberto Bemporad, Laura Puglia & Tommaso Gabbriellini. (2011) A stochastic model predictive control approach to dynamic option hedging with transaction costs. A stochastic model predictive control approach to dynamic option hedging with transaction costs.
Alberto Bemporad, Tommaso Gabbriellini, Laura Puglia & Leonardo Bellucci. (2010) Scenario-based stochastic model predictive control for dynamic option hedging. Scenario-based stochastic model predictive control for dynamic option hedging.
Michel Fliess & Cedric Join. (2010) Delta hedging in financial engineering: Towards a model-free approach. Delta hedging in financial engineering: Towards a model-free approach.
Yang Wang & Stephen Boyd. (2010) Fast Model Predictive Control Using Online Optimization. IEEE Transactions on Control Systems Technology 18:2, pages 267-278.
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Tze Leung Lai & Tiong Wee Lim. (2009) Option hedging theory under transaction costs. Journal of Economic Dynamics and Control 33:12, pages 1945-1961.
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Bryant Angelos, McKay Heasley & Jeffrey Humpherys. (2009) Option pricing for inventory management and control. Option pricing for inventory management and control.
Vladimir Dombrovskii & Tatyana Obedko. (2014) Portfolio Optimization in the Financial Market with Correlated Returns Under Constraints, Transaction Costs and Different Rates for Borrowing and Lending. SSRN Electronic Journal.
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Vladimir Dombrovskii & Tatyana Obedko. (2014) Portfolio Optimization in the Financial Market with Regime Switching Under Constraints, Transaction Costs and Different Rates for Borrowing and Lending. SSRN Electronic Journal.
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Haipeng Xing, Yang Yu & TiongWee Lim. (2012) European Option Pricing under Jump Diffusion with Proportional Transaction Costs. SSRN Electronic Journal.
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