Optimal portfolio management by using extremum seeking control

Keisuke Funaki, Hiromitsu Ohmori

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

In this paper the extremum seeking is applied to optimal portfolio management problem. [1,2] When we think portfolio management method, we had to estimate parameters which is difficult to estimate such as volatility, expected return and so on so far. For example, Morton and Pliska optimized portfolio by using Kuhn-Tucker condition in [3] (we'll call it the M&P method). But this method needs to estimate many parameters in the market. The proposed method use the extremum seeking to optimize portfolio without estimating market's parameters which is difficult to estimate, so we adapt sudden changes of market's condition.

Original languageEnglish
Title of host publicationProceedings of the SICE Annual Conference
Pages2596-2601
Number of pages6
Publication statusPublished - 2011
Event50th Annual Conference on Society of Instrument and Control Engineers, SICE 2011 - Tokyo, Japan
Duration: 2011 Sep 132011 Sep 18

Other

Other50th Annual Conference on Society of Instrument and Control Engineers, SICE 2011
CountryJapan
CityTokyo
Period11/9/1311/9/18

Keywords

  • Extremum seeking
  • Finance
  • Investment science
  • Optimal portfolio management

ASJC Scopus subject areas

  • Electrical and Electronic Engineering
  • Control and Systems Engineering
  • Computer Science Applications

Cite this

Funaki, K., & Ohmori, H. (2011). Optimal portfolio management by using extremum seeking control. In Proceedings of the SICE Annual Conference (pp. 2596-2601). [6060417]

Optimal portfolio management by using extremum seeking control. / Funaki, Keisuke; Ohmori, Hiromitsu.

Proceedings of the SICE Annual Conference. 2011. p. 2596-2601 6060417.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Funaki, K & Ohmori, H 2011, Optimal portfolio management by using extremum seeking control. in Proceedings of the SICE Annual Conference., 6060417, pp. 2596-2601, 50th Annual Conference on Society of Instrument and Control Engineers, SICE 2011, Tokyo, Japan, 11/9/13.
Funaki K, Ohmori H. Optimal portfolio management by using extremum seeking control. In Proceedings of the SICE Annual Conference. 2011. p. 2596-2601. 6060417
Funaki, Keisuke ; Ohmori, Hiromitsu. / Optimal portfolio management by using extremum seeking control. Proceedings of the SICE Annual Conference. 2011. pp. 2596-2601
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