A Stochastic Receding Horizon Control Approach to Constrained Index Tracking

James Primbs () and Chang Sung

Asia-Pacific Financial Markets, 2008, vol. 15, issue 1, 3-24

Keywords: Computational methods; Constraints; Index tracking; Receding horizon control; Stochastic control (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s10690-008-9073-1

Asia-Pacific Financial Markets is currently edited by Jiro Akahori

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