지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 한국지능시스템학회 INTERNATIONAL JOURNAL of FUZZY LOGIC and INTELLIGENT SYSTEMS INTERNATIONAL JOURNAL of FUZZY LOGIC and INTELLIGENT SYSTEMS Vol.13 No.1
- 발행연도
- 2013.3
- 수록면
- 19 - 28 (10page)
이용수
초록· 키워드
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Recently, the constrained index tracking problem, in which the task of trading a set of stocks is performed so as to closely follow an index value under some constraints, has often been considered as an important application domain for control theory. Because this problem can be conveniently viewed and formulated as an optimal decision-making problem in a highly uncertain and stochastic environment, approaches based on stochastic optimal control methods are particularly pertinent. Since stochastic optimal control problems cannot be solved exactly except in very simple cases, approximations are required in most practical problems to obtain good suboptimal policies. In this paper, we present a procedure for finding a suboptimal solution to the constrained index tracking problem based on approximate dynamic programming. Illustrative simulation results show that this procedure works well when applied to a set of real financial market data.
목차
Abstract
1. Introduction
2. Preliminaries
3. ADP-Based Constrained Index Tracking
4. An Example
5. Concluding Remarks
References
참고문헌 (15)
참고문헌 신청
A. Primbs / 2008 / A stochastic receding horizon control approach to constrained index tracking / Asia- Pacific Financial Markets 15(1):3~24
J. E. Beasley / 2003 / An evolutionary heuristic for the index tracking problem / European Journal of Operational Research 148(3):621~643
R. Jeurissen / 2005 / Index tracking using a hybrid genetic algorithm / in Proceedings of 2005 ICSC Congress on Computational Intelligence Methods and Applications
J. A. Primbs / 2007 / Portfolio optimization applications of stochastic receding horizon control / in Proceedings of 2007 American Control Conference :1811~1816
S. Boyd / 2013 / Performance bounds and suboptimal policies for multi-period investment / Foundations and Trends in Optimization 1(1):1~69
J. E. Beasley / 2003 / An evolutionary heuristic for the index tracking problem / European Journal of Operational Research 148(3):621~643
R. Jeurissen / 2005 / Index tracking using a hybrid genetic algorithm / in Proceedings of 2005 ICSC Congress on Computational Intelligence Methods and Applications
J. A. Primbs / 2007 / Portfolio optimization applications of stochastic receding horizon control / in Proceedings of 2007 American Control Conference :1811~1816
S. Boyd / 2013 / Performance bounds and suboptimal policies for multi-period investment / Foundations and Trends in Optimization 1(1):1~69
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UCI(KEPA) : I410-ECN-0101-2014-020-002591669