TY - GEN
T1 - Optimal portfolio management by using extremum seeking control
AU - Funaki, Keisuke
AU - Ohmori, Hiromitsu
PY - 2011
Y1 - 2011
N2 - 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.
AB - 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.
KW - Extremum seeking
KW - Finance
KW - Investment science
KW - Optimal portfolio management
UR - http://www.scopus.com/inward/record.url?scp=81255138551&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=81255138551&partnerID=8YFLogxK
M3 - Conference contribution
AN - SCOPUS:81255138551
SN - 9784907764395
T3 - Proceedings of the SICE Annual Conference
SP - 2596
EP - 2601
BT - SICE 2011 - SICE Annual Conference 2011, Final Program and Abstracts
PB - Society of Instrument and Control Engineers (SICE)
T2 - 50th Annual Conference on Society of Instrument and Control Engineers, SICE 2011
Y2 - 13 September 2011 through 18 September 2011
ER -