Optimal portfolio management by using extremum seeking control

Keisuke Funaki, Hiromitsu Ohmori

Research output: Chapter in Book/Report/Conference proceedingConference contribution


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 languageEnglish
Title of host publicationSICE 2011 - SICE Annual Conference 2011, Final Program and Abstracts
PublisherSociety of Instrument and Control Engineers (SICE)
Number of pages6
ISBN (Print)9784907764395
Publication statusPublished - 2011 Jan 1
Event50th Annual Conference on Society of Instrument and Control Engineers, SICE 2011 - Tokyo, Japan
Duration: 2011 Sept 132011 Sept 18

Publication series

NameProceedings of the SICE Annual Conference


Other50th Annual Conference on Society of Instrument and Control Engineers, SICE 2011


  • Extremum seeking
  • Finance
  • Investment science
  • Optimal portfolio management

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Computer Science Applications
  • Electrical and Electronic Engineering

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