Approximate Dynamic Programming-Based Dynamic Portfolio Optimization for Constrained Index Tracking

Approximate Dynamic Programming-Based Dynamic Portfolio Optimization for Constrained Index Tracking

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 environ...

Optimization-based Approximate Dynamic Programming

OPTIMIZATION-BASED APPROXIMATE DYNAMIC PROGRAMMING

Portfolio Optimization with Position Constraints: an Approximate Dynamic Programming Approach

We analyze dynamic portfolio choice problems using an approximate dynamic programming (ADP) algorithm. We extend the algorithm to the case of constraints on borrowing and implement a duality-based simulation procedure for estimating bounds on the true value function. We demonstrate that the ADP solution exhibits a high degree of accuracy in the considered examples, indicating that this is a pro...

Risk-Constrained Forward Trading Optimization by Stochastic Approximate Dynamic Programming

A Robust Knapsack Based Constrained Portfolio Optimization

Many portfolio optimization problems deal with allocation of assets which carry a relatively high market price. Therefore, it is necessary to determine the integer value of assets when we deal with portfolio optimization. In addition, one of the main concerns with most portfolio optimization is associated with the type of constraints considered in different models. In many cases, the resulted p...