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首页> 外文期刊>Optimal Control Applications and Methods >Feedback predictive control strategies for investment in the financial market with serially correlated returns subject to constraints and trading costs
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Feedback predictive control strategies for investment in the financial market with serially correlated returns subject to constraints and trading costs

机译：反馈预测控制策略对金融市场的投资，串联相关的回报受限制和交易成本

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摘要

In this paper, we consider the optimal portfolio selection problem subject to hard constraints on trading amounts, trading costs, and different rates for borrowing and lending when the risky asset returns are serially correlated. We consider both explicit and implicit trading costs. No assumptions about the correlation structure between different time points or about the distribution of asset returns are needed. The problem is stated as a dynamic tracking problem of a reference portfolio with a desired return. We leverage the methodology of model predictive control (also known as receding horizon control) to design feedback portfolio optimization strategies and to provide a numerically tractable algorithm for practical applications. All expressions are presented in terms of first- and second-order conditional moments. Our approach is tested on sets of real data from the Russian Stock Exchange Moscow Interbank Currency Exchange and New York Stock Exchange.
机译：在本文中，我们考虑最佳的投资组合选择问题，这是对交易金额，交易成本和借贷风险资产返回串联相关的借贷和贷款利率的艰难约束。 我们考虑明确和隐含的交易成本。 不需要对不同时间点之间或关于资产返回分布之间的相关结构的假设。 问题被称为具有期望返回的引用组合的动态跟踪问题。 我们利用模型预测控制（也称为后退地平线控制）的方法来设计反馈产品优化策略，并为实际应用提供了一种数值易解算法。 所有表达式都以第一顺序和二阶条件时刻呈现。 我们的方法在俄罗斯证券交易所莫斯科银行间货币兑换和纽约证券交易所的实际数据上进行了测试。

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