Enhancing portfolio optimization : an ADMM approach with embedded splitting for scenario-based model predictive control

Weibel, Marc

Publication type:	Conference paper
Type of review:	Peer review (abstract)
Title:	Enhancing portfolio optimization : an ADMM approach with embedded splitting for scenario-based model predictive control
Authors:	Weibel, Marc
et. al:	No
Conference details:	33rd European Conference on Operational Research (EURO), Copenhagen, Denmark, 30 June - 3 July 2024
Issue Date:	30-Jun-2024
Language:	English
Subject (DDC):	005: Computer programming, programs and data 332.6: Investment
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.
URI:	https://digitalcollection.zhaw.ch/handle/11475/31125
Fulltext version:	Published version
License (according to publishing contract):	Licence according to publishing contract
Departement:	School of Management and Law
Organisational Unit:	Institute of Wealth & Asset Management (IWA)
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.