Optimal portfolio management by using extremum seeking control

Keisuke Funaki, Hiromitsu Ohmori

研究成果: Conference contribution

抜粋

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.

元の言語English
ホスト出版物のタイトルSICE 2011 - SICE Annual Conference 2011, Final Program and Abstracts
出版者Society of Instrument and Control Engineers (SICE)
ページ2596-2601
ページ数6
ISBN(印刷物)9784907764395
出版物ステータスPublished - 2011 1 1
イベント50th Annual Conference on Society of Instrument and Control Engineers, SICE 2011 - Tokyo, Japan
継続期間: 2011 9 132011 9 18

出版物シリーズ

名前Proceedings of the SICE Annual Conference

Other

Other50th Annual Conference on Society of Instrument and Control Engineers, SICE 2011
Japan
Tokyo
期間11/9/1311/9/18

ASJC Scopus subject areas

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

これを引用

Funaki, K., & Ohmori, H. (2011). Optimal portfolio management by using extremum seeking control. : SICE 2011 - SICE Annual Conference 2011, Final Program and Abstracts (pp. 2596-2601). [6060417] (Proceedings of the SICE Annual Conference). Society of Instrument and Control Engineers (SICE).