A Fast Optimal Control Algorithm for Multi-Period Portfolio Optimization


This paper contributes towards the development of a fast algorithm, relying on the Alternating-Direction of Multipliers (ADMM), for solving scenario-based Model Predictive Control arising in multi-period portfolio... [ view full abstract ]


  1. Marc Weibel (Eniso Partners AG)

Topic Areas

Optimal Control , Optimization , Transaction Costs


WE-A-SW » Computational Finance (11:30 - Wednesday, 18th July, Swift)

Presentation Files

The presenter has not uploaded any presentation files.