THE APPLICATION OF MODEL PREDICTIVE CONTROL ON STOCK PORTFOLIO OPTIMIZATION WITH PREDICTION BASED ON GEOMETRIC BROWNIANMOTION-KALMAN FILTER

被引：0

作者：

Syaifudin, Wawan Hafid ^{[1
]}

Putri, Endah R. M. ^{[1
]}

机构：

[1] Department of Actuarial Science, Faculty of Science and Data Analytics, Institut Teknologi Sepuluh Nopember, Indonesia

来源：

Journal of Industrial and Management Optimization | 2022年 / 18卷 / 05期

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摘要：

Brownian movement - Costs - Electronic trading - Financial markets - Forecasting - Geometry - Investments - Model predictive control - Optimal control systems - Predictive control systems

引用

页码：3433 / 3443