Model Predictive Control for Optimal Pairs Trading Portfolio with Gross Exposure and Transaction Cost Constraints
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DOI: 10.1007/s10690-017-9236-z
Abstract: Model predictive control (MPC) is a flexible yet tractable technique in control engineering that recently has gained much attention in the area of finance, particularly for its application to portfolio optimization. In this paper, we… read more here.
Keywords: gross exposure; control; transaction cost; transaction ... See more keywords