Approximate Dynamic Programming-Based Dynamic Portfolio Optimization for Constrained Index TrackingApproximate Dynamic Programming-Based Dynamic Portfolio Optimization for Constrained Index Tracking
- Other Titles
- Approximate Dynamic Programming-Based Dynamic Portfolio Optimization for Constrained Index Tracking
- Authors
- 박주영; 양동수; 박경욱
- Issue Date
- 2013
- Publisher
- 한국지능시스템학회
- Keywords
- Approximate dynamic programming; Dynamic portfolio optimization; Stochastic control; Constrained index tracking; Financial engineering
- Citation
- International Journal of Fuzzy Logic and Intelligent systems, v.13, no.1, pp.19 - 28
- Indexed
- KCI
- Journal Title
- International Journal of Fuzzy Logic and Intelligent systems
- Volume
- 13
- Number
- 1
- Start Page
- 19
- End Page
- 28
- URI
- https://scholar.korea.ac.kr/handle/2021.sw.korea/104699
- ISSN
- 1598-2645
- Abstract
- 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.
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Collections - College of Science and Technology > Department of Electro-Mechanical Systems Engineering > 1. Journal Articles
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