Application of classical control methods in stock portfolio optimization

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Khakdaman Mahdi; Manthouri Mohammad

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Seminar Paper

Paper Information

Seminar: INTERNATIONAL CONFERENCE INTERDISCIPLINARY STUDIES IN MANAGEMENT AND ENGINEERING
Year:2022 | Issue:5

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Title

Application of classical control methods in stock portfolio optimization

Author(s)

Khakdaman Mahdi | Manthouri Mohammad

Keywords

Portfolio

Kalman Filter

Geometric Brown Motion

Model Predictive Control

Abstract

Determining the optimal Portfolio or Portfolio is an important issue for investors in domestic and international financial markets. Therefore, capital management in a Portfolio can be considered as a dynamic optimal control problem and acceptable trading performance can be achieved by using methods of forecasting and optimizing stock prices in the future. In this study, we will review the research and resources presented in recent years in the field of statistical and estimation methods such as Kalman Filter-geometric Brownian motion to predict the future of stock prices and also predictive control to solve the problem of Portfolio optimization. take stock. First, an introduction to the subject is given. Then, the basic concepts and definitions needed to better understand the reviewed sources are presented. In the following, articles and other sources used in this research are given. At the end, a summary of the studies is presented.

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APA: Copy

Khakdaman, Mahdi, & Manthouri, Mohammad. (2022). Application of classical control methods in stock portfolio optimization. INTERNATIONAL CONFERENCE INTERDISCIPLINARY STUDIES IN MANAGEMENT AND ENGINEERING. SID. https://sid.ir/paper/950012/en

Vancouver: Copy

Khakdaman Mahdi, Manthouri Mohammad. Application of classical control methods in stock portfolio optimization. 2022. Available from: https://sid.ir/paper/950012/en

IEEE: Copy

Mahdi Khakdaman, and Mohammad Manthouri, “Application of classical control methods in stock portfolio optimization,” presented at the INTERNATIONAL CONFERENCE INTERDISCIPLINARY STUDIES IN MANAGEMENT AND ENGINEERING. 2022, [Online]. Available: https://sid.ir/paper/950012/en

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