Optimal portfolio management by using extremum seeking control

Keisuke Funaki; Hiromitsu Ohmori

Optimal portfolio management by using extremum seeking control

Department of System Design Engineering

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Abstract

In this paper the extremum seeking is applied to optimal portfolio management problem. [1,2] When we think portfolio management method, we had to estimate parameters which is difficult to estimate such as volatility, expected return and so on so far. For example, Morton and Pliska optimized portfolio by using Kuhn-Tucker condition in [3] (we'll call it the M&P method). But this method needs to estimate many parameters in the market. The proposed method use the extremum seeking to optimize portfolio without estimating market's parameters which is difficult to estimate, so we adapt sudden changes of market's condition.

Original language	English
Title of host publication	SICE 2011 - SICE Annual Conference 2011, Final Program and Abstracts
Publisher	Society of Instrument and Control Engineers (SICE)
Pages	2596-2601
Number of pages	6
ISBN (Print)	9784907764395
Publication status	Published - 2011 Jan 1
Event	50th Annual Conference on Society of Instrument and Control Engineers, SICE 2011 - Tokyo, Japan Duration: 2011 Sept 13 → 2011 Sept 18

Publication series

Name	Proceedings of the SICE Annual Conference

Other

Other	50th Annual Conference on Society of Instrument and Control Engineers, SICE 2011
Country/Territory	Japan
City	Tokyo
Period	11/9/13 → 11/9/18

Keywords

Extremum seeking
Finance
Investment science
Optimal portfolio management

ASJC Scopus subject areas

Control and Systems Engineering
Computer Science Applications
Electrical and Electronic Engineering

Cite this

Optimal portfolio management by using extremum seeking control. / Funaki, Keisuke; Ohmori, Hiromitsu.
SICE 2011 - SICE Annual Conference 2011, Final Program and Abstracts. Society of Instrument and Control Engineers (SICE), 2011. p. 2596-2601 6060417 (Proceedings of the SICE Annual Conference).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Funaki, K & Ohmori, H 2011, Optimal portfolio management by using extremum seeking control. in SICE 2011 - SICE Annual Conference 2011, Final Program and Abstracts., 6060417, Proceedings of the SICE Annual Conference, Society of Instrument and Control Engineers (SICE), pp. 2596-2601, 50th Annual Conference on Society of Instrument and Control Engineers, SICE 2011, Tokyo, Japan, 11/9/13.

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Optimal portfolio management by using extremum seeking control

Abstract

Publication series

Other

Keywords

ASJC Scopus subject areas

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Cite this