HERZOG, FLORIAN; DONDI, GABRIEL; GEERING, HANS P. - In: International Journal of Theoretical and Applied … 10 (2007) 02, pp. 203-233
This paper proposes a solution method for the discrete-time long-term dynamic portfolio optimization problem with state and asset allocation constraints. We use the ideas of Model Predictive Control (MPC) to solve the constrained stochastic control problem. MPC is a solution technique which was...