PID feedback controller used as a tactical asset allocation technique: The G.A.M. model

G. Gandolfi, A. Sabatini and M. Rossolini

Physica A: Statistical Mechanics and its Applications, 2007, vol. 383, issue 1, 71-78

Abstract: The objective of this paper is to illustrate a tactical asset allocation technique utilizing the PID controller. The proportional–integral–derivative (PID) controller is widely applied in most industrial processes; it has been successfully used for over 50 years and it is used by more than 95% of the plants processes. It is a robust and easily understood algorithm that can provide excellent control performance in spite of the diverse dynamic characteristics of the process plant.

Keywords: Tactical asset allocation; Buy & hold strategy; PID controller; Feedback systems; Portfolio performance index (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:383:y:2007:i:1:p:71-78

DOI: 10.1016/j.physa.2007.04.104

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