A Stochastic Receding Horizon Control Approach to Constrained Index Tracking
| Year of publication: |
2008
|
|---|---|
| Authors: | Primbs, James ; Sung, Chang |
| Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 15.2008, 1, p. 3-24
|
| Publisher: |
Springer |
| Subject: | Computational methods | Constraints | Index tracking | Receding horizon control | Stochastic control |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005075676