Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Weibel, Marc | - |
| dc.date.accessioned | 2024-07-31T12:55:24Z | - |
| dc.date.available | 2024-07-31T12:55:24Z | - |
| dc.date.issued | 2024-06-30 | - |
| dc.identifier.uri | https://digitalcollection.zhaw.ch/handle/11475/31125 | - |
| dc.description.abstract | This paper contributes towards developing an efficient algorithm, relying on the Alternating-Direction of Multipliers (ADMM), for solving scenario-based Model Predictive Control arising in multi-period portfolio optimization problems. We enhance the standard two-set splitting algorithm of the ADMM method by including inequality constraints through a so-called embedded splitting without recourse to an additional splitting set. We derive an alteration of the termination criterion using the probabilities assigned to the scenarios and provide a convergence analysis. | de_CH |
| dc.language.iso | en | de_CH |
| dc.rights | Licence according to publishing contract | de_CH |
| dc.subject.ddc | 005: Computerprogrammierung, Programme und Daten | de_CH |
| dc.subject.ddc | 332.6: Investition | de_CH |
| dc.title | Enhancing portfolio optimization : an ADMM approach with embedded splitting for scenario-based model predictive control | de_CH |
| dc.type | Konferenz: Paper | de_CH |
| dcterms.type | Text | de_CH |
| zhaw.departement | School of Management and Law | de_CH |
| zhaw.organisationalunit | Institut für Wealth & Asset Management (IWA) | de_CH |
| zhaw.conference.details | 33rd European Conference on Operational Research (EURO), Copenhagen, Denmark, 30 June - 3 July 2024 | de_CH |
| zhaw.funding.eu | No | de_CH |
| zhaw.originated.zhaw | Yes | de_CH |
| zhaw.publication.status | publishedVersion | de_CH |
| zhaw.publication.review | Peer review (Abstract) | de_CH |
| zhaw.author.additional | No | de_CH |
| zhaw.display.portrait | Yes | de_CH |
| Appears in collections: | Publikationen School of Management and Law | |
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Weibel, M. (2024, June 30). Enhancing portfolio optimization : an ADMM approach with embedded splitting for scenario-based model predictive control. 33rd European Conference on Operational Research (EURO), Copenhagen, Denmark, 30 June - 3 July 2024.
Weibel, M. (2024) ‘Enhancing portfolio optimization : an ADMM approach with embedded splitting for scenario-based model predictive control’, in 33rd European Conference on Operational Research (EURO), Copenhagen, Denmark, 30 June - 3 July 2024.
M. Weibel, “Enhancing portfolio optimization : an ADMM approach with embedded splitting for scenario-based model predictive control,” in 33rd European Conference on Operational Research (EURO), Copenhagen, Denmark, 30 June - 3 July 2024, Jun. 2024.
WEIBEL, Marc, 2024. Enhancing portfolio optimization : an ADMM approach with embedded splitting for scenario-based model predictive control. In: 33rd European Conference on Operational Research (EURO), Copenhagen, Denmark, 30 June - 3 July 2024. Conference paper. 30 Juni 2024
Weibel, Marc. 2024. “Enhancing Portfolio Optimization : An ADMM Approach with Embedded Splitting for Scenario-Based Model Predictive Control.” Conference paper. In 33rd European Conference on Operational Research (EURO), Copenhagen, Denmark, 30 June - 3 July 2024.
Weibel, Marc. “Enhancing Portfolio Optimization : An ADMM Approach with Embedded Splitting for Scenario-Based Model Predictive Control.” 33rd European Conference on Operational Research (EURO), Copenhagen, Denmark, 30 June - 3 July 2024, 2024.
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