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12. Enhancing portfolio optimization: an ADMM approach with embedded splitting for scenario-based model predictive control
Invited abstract in session MA-8: Portfolio optimization and sustainability, stream AI & Innovation in Sustainable Finance.
Monday, 8:30-10:00Room: 1020 (building: 202)
Authors (first author is the speaker)
| 1. | Marc Weibel
|
| ZHAW School of Management and Law |
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.
Keywords
- Convex Optimization
- Optimal Control
- Optimization in Financial Mathematics
Status: accepted
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