Multiobjective Model Predictive Control for portfolio optimization with cardinality constraint

作者：

Highlights：

• The cardinality constraint for multiobjective model predictive control is proposed.

• Adaptation in the NSGA2 to deal with the prediction horizon perspective is proposed.

• Analysis matching free risk allocation, cardinality, prediction horizon is proposed.

摘要

•The cardinality constraint for multiobjective model predictive control is proposed.•Adaptation in the NSGA2 to deal with the prediction horizon perspective is proposed.•Analysis matching free risk allocation, cardinality, prediction horizon is proposed.

论文关键词：Portfolio selection,Model Predictive Control,Multiobjective Optimization,Cardinality constraint

论文评审过程：Received 20 October 2021, Revised 30 March 2022, Accepted 26 May 2022, Available online 3 June 2022, Version of Record 11 June 2022.

论文官网地址：https://doi.org/10.1016/j.eswa.2022.117639