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 |
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