{"id":"https://openalex.org/W2116859182","doi":"https://doi.org/10.1109/cca.2011.6044440","title":"A receding horizon control approach to portfolio optimization using a risk-minimax objective for wealth tracking","display_name":"A receding horizon control approach to portfolio optimization using a risk-minimax objective for wealth tracking","publication_year":2011,"publication_date":"2011-09-01","ids":{"openalex":"https://openalex.org/W2116859182","doi":"https://doi.org/10.1109/cca.2011.6044440","mag":"2116859182"},"language":"en","primary_location":{"id":"doi:10.1109/cca.2011.6044440","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cca.2011.6044440","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2011 IEEE International Conference on Control Applications (CCA)","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5107868583","display_name":"S. Sridharan","orcid":null},"institutions":[{"id":"https://openalex.org/I55732556","display_name":"Arizona State University","ror":"https://ror.org/03efmqc40","country_code":"US","type":"education","lineage":["https://openalex.org/I55732556"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Srikanth Sridharan","raw_affiliation_strings":["Department of Electrical Engineering, Arizona State University, USA","[Department of Electrical Engineering, Arizona State University]"],"affiliations":[{"raw_affiliation_string":"Department of Electrical Engineering, Arizona State University, USA","institution_ids":["https://openalex.org/I55732556"]},{"raw_affiliation_string":"[Department of Electrical Engineering, Arizona State University]","institution_ids":["https://openalex.org/I55732556"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5073612581","display_name":"Divakar Chitturi","orcid":null},"institutions":[{"id":"https://openalex.org/I55732556","display_name":"Arizona State University","ror":"https://ror.org/03efmqc40","country_code":"US","type":"education","lineage":["https://openalex.org/I55732556"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Divakar Chitturi","raw_affiliation_strings":["Department of Electrical Engineering, Arizona State University, USA","[Department of Electrical Engineering, Arizona State University]"],"affiliations":[{"raw_affiliation_string":"Department of Electrical Engineering, Arizona State University, USA","institution_ids":["https://openalex.org/I55732556"]},{"raw_affiliation_string":"[Department of Electrical Engineering, Arizona State University]","institution_ids":["https://openalex.org/I55732556"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5003505116","display_name":"Armando A. Rodriguez","orcid":"https://orcid.org/0000-0003-3136-5240"},"institutions":[{"id":"https://openalex.org/I55732556","display_name":"Arizona State University","ror":"https://ror.org/03efmqc40","country_code":"US","type":"education","lineage":["https://openalex.org/I55732556"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Armando A. Rodriguez","raw_affiliation_strings":["Department of Electrical Engineering, Arizona State University, USA","[Department of Electrical Engineering, Arizona State University]"],"affiliations":[{"raw_affiliation_string":"Department of Electrical Engineering, Arizona State University, USA","institution_ids":["https://openalex.org/I55732556"]},{"raw_affiliation_string":"[Department of Electrical Engineering, Arizona State University]","institution_ids":["https://openalex.org/I55732556"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5107868583"],"corresponding_institution_ids":["https://openalex.org/I55732556"],"apc_list":null,"apc_paid":null,"fwci":1.2292,"has_fulltext":false,"cited_by_count":7,"citation_normalized_percentile":{"value":0.82116029,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":null,"issue":null,"first_page":"1282","last_page":"1287"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9993000030517578,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9993000030517578,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9977999925613403,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11801","display_name":"Reservoir Engineering and Simulation Methods","score":0.9972000122070312,"subfield":{"id":"https://openalex.org/subfields/2212","display_name":"Ocean Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.741966962814331},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.725286602973938},{"id":"https://openalex.org/keywords/minimax","display_name":"Minimax","score":0.651735246181488},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.620525062084198},{"id":"https://openalex.org/keywords/horizon","display_name":"Horizon","score":0.5834133625030518},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5569413900375366},{"id":"https://openalex.org/keywords/limiting","display_name":"Limiting","score":0.5532615780830383},{"id":"https://openalex.org/keywords/optimization-problem","display_name":"Optimization problem","score":0.5424341559410095},{"id":"https://openalex.org/keywords/control","display_name":"Control (management)","score":0.4813143014907837},{"id":"https://openalex.org/keywords/maximization","display_name":"Maximization","score":0.4761200547218323},{"id":"https://openalex.org/keywords/time-horizon","display_name":"Time horizon","score":0.45321884751319885},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.3510931134223938},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.24409160017967224},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.19067516922950745},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.145765483379364},{"id":"https://openalex.org/keywords/engineering","display_name":"Engineering","score":0.1269514560699463}],"concepts":[{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.741966962814331},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.725286602973938},{"id":"https://openalex.org/C149728462","wikidata":"https://www.wikidata.org/wiki/Q751319","display_name":"Minimax","level":2,"score":0.651735246181488},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.620525062084198},{"id":"https://openalex.org/C159176650","wikidata":"https://www.wikidata.org/wiki/Q43261","display_name":"Horizon","level":2,"score":0.5834133625030518},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5569413900375366},{"id":"https://openalex.org/C188198153","wikidata":"https://www.wikidata.org/wiki/Q1613840","display_name":"Limiting","level":2,"score":0.5532615780830383},{"id":"https://openalex.org/C137836250","wikidata":"https://www.wikidata.org/wiki/Q984063","display_name":"Optimization problem","level":2,"score":0.5424341559410095},{"id":"https://openalex.org/C2775924081","wikidata":"https://www.wikidata.org/wiki/Q55608371","display_name":"Control (management)","level":2,"score":0.4813143014907837},{"id":"https://openalex.org/C2776330181","wikidata":"https://www.wikidata.org/wiki/Q18358244","display_name":"Maximization","level":2,"score":0.4761200547218323},{"id":"https://openalex.org/C28761237","wikidata":"https://www.wikidata.org/wiki/Q7805321","display_name":"Time horizon","level":2,"score":0.45321884751319885},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3510931134223938},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.24409160017967224},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.19067516922950745},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.145765483379364},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.1269514560699463},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/cca.2011.6044440","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cca.2011.6044440","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2011 IEEE International Conference on Control Applications (CCA)","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[{"score":0.5699999928474426,"id":"https://metadata.un.org/sdg/8","display_name":"Decent work and economic growth"}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":54,"referenced_works":["https://openalex.org/W43415224","https://openalex.org/W1548637214","https://openalex.org/W1567533126","https://openalex.org/W1683055710","https://openalex.org/W1967159293","https://openalex.org/W1968250197","https://openalex.org/W1976410223","https://openalex.org/W1984697146","https://openalex.org/W1988916339","https://openalex.org/W1999518005","https://openalex.org/W2001690079","https://openalex.org/W2010899207","https://openalex.org/W2015370733","https://openalex.org/W2015800048","https://openalex.org/W2019055458","https://openalex.org/W2019291268","https://openalex.org/W2032170121","https://openalex.org/W2034931954","https://openalex.org/W2061698680","https://openalex.org/W2068745433","https://openalex.org/W2070579920","https://openalex.org/W2085317472","https://openalex.org/W2090874083","https://openalex.org/W2093260403","https://openalex.org/W2095287175","https://openalex.org/W2095287530","https://openalex.org/W2096020650","https://openalex.org/W2098487960","https://openalex.org/W2110519782","https://openalex.org/W2111951371","https://openalex.org/W2130359604","https://openalex.org/W2131868098","https://openalex.org/W2134807435","https://openalex.org/W2143955866","https://openalex.org/W2148654185","https://openalex.org/W2154326182","https://openalex.org/W2159671067","https://openalex.org/W2160340633","https://openalex.org/W2165408259","https://openalex.org/W2170377759","https://openalex.org/W2184217691","https://openalex.org/W2188824969","https://openalex.org/W2284727287","https://openalex.org/W2341171179","https://openalex.org/W3124170611","https://openalex.org/W3143169333","https://openalex.org/W4241627017","https://openalex.org/W4254466005","https://openalex.org/W4255050574","https://openalex.org/W4285719527","https://openalex.org/W6659299373","https://openalex.org/W6683484199","https://openalex.org/W6695855461","https://openalex.org/W6807091881"],"related_works":["https://openalex.org/W2906267174","https://openalex.org/W134501823","https://openalex.org/W2615656344","https://openalex.org/W2025311859","https://openalex.org/W2013239059","https://openalex.org/W2295626654","https://openalex.org/W4286622840","https://openalex.org/W2536121351","https://openalex.org/W2809608782","https://openalex.org/W2333245620"],"abstract_inverted_index":{"In":[0],"this":[1,92,102],"paper,":[2],"we":[3],"consider":[4],"the":[5,36,59,63,95,120],"problem":[6,38],"of":[7,39,119],"financial":[8],"portfolio":[9,53],"optimization.":[10],"A":[11],"hierarchical":[12],"framework":[13],"is":[14,75,99],"used,":[15],"and":[16,26],"receding":[17],"horizon":[18],"control":[19],"(RHC)":[20],"ideas":[21],"are":[22],"exploited":[23],"to":[24,43,52,57,68,77,84],"pose":[25],"solve":[27],"two":[28],"relevant":[29],"constrained":[30],"optimization":[31,54],"problems.":[32],"We":[33,46,90],"first":[34],"present":[35],"classic":[37],"wealth":[40,71],"maximization":[41],"subject":[42],"risk":[44,61,88],"constraints.":[45],"also":[47],"formulate":[48],"a":[49,70],"new":[50],"approach":[51,74,103],"which":[55],"attempts":[56],"minimize":[58],"peak":[60],"over":[62],"prediction":[64],"horizon,":[65],"while":[66,116],"trying":[67],"track":[69],"objective.":[72],"This":[73],"designed":[76],"assist":[78],"investors":[79],"that":[80,101],"might":[81],"be":[82,105],"unable":[83],"precisely":[85],"specify":[86],"their":[87],"tolerance.":[89],"compare":[91],"methodology":[93],"with":[94],"classical":[96],"approach.":[97],"It":[98],"concluded":[100],"may":[104],"particularly":[106],"beneficial":[107],"during":[108,114],"downturns":[109,115],"-":[110],"appreciably":[111],"limiting":[112],"losses":[113],"providing":[117],"most":[118],"upturn":[121],"benefits.":[122]},"counts_by_year":[{"year":2022,"cited_by_count":1},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":2},{"year":2014,"cited_by_count":1},{"year":2013,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
