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Abstract In the present paper, a mathematical model for a portfolio is proposed. This model is valid for operations of buying and selling shares of an asset in constant periods… Click to show full abstract
Abstract In the present paper, a mathematical model for a portfolio is proposed. This model is valid for operations of buying and selling shares of an asset in constant periods of time, additionally, it has a state space form which can be used to design a control law using control theory. The designed control law can be interpreted as a trading signal to reach a portfolio value desired. The mathematical model and control law proposed are validated by means simulations using real daily prices of Mexican stock exchange.
Keywords:
portfolio modeling;
portfolio;
control;
control theory;
control law
Journal Title: IFAC-PapersOnLine
Year Published: 2018
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Journal Title: IFAC-PapersOnLine
Year Published: 2018
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!