Optimal portfolio management by using extremum seeking control

Keisuke Funaki, Hiromitsu Ohmori

研究成果: Conference contribution

抄録

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Proceedings of the SICE Annual Conference
ページ2596-2601
ページ数6
出版物ステータスPublished - 2011
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

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

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

これを引用

Funaki, K., & Ohmori, H. (2011). Optimal portfolio management by using extremum seeking control. : 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.

研究成果: Conference contribution

Funaki, K & Ohmori, H 2011, Optimal portfolio management by using extremum seeking control. : 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. : 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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