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BOISSAUX Marc

Main Referenced Co-authors
SCHILTZ, Jean  (4)
Main Referenced Keywords
control constraints (1); minimum energy problem (1); optimal control (1); quadratic cost function (1);
Main Referenced Disciplines
Finance (4)
Mathematics (1)

Publications (total 5)

The most downloaded
142 downloads
Schiltz, J., & Boissaux, M. (17 December 2014). A Numerical Scheme for Multisignal Weight Constrained Conditioned Portfolio Optimisation Problems [Paper presentation]. Quantitative Methods in Finance, Sydney, Australia. https://hdl.handle.net/10993/19959

Schiltz, J., & Boissaux, M. (20 December 2019). A performance evaluation of weight-constrained conditioned portfolio optimization [Paper presentation]. World Finance & Banking Symposium 2019, New Delhi, India.

Schiltz, J., & Boissaux, M. (25 May 2017). A performance evaluation of weight-constrained conditioned portfolio optimization [Paper presentation]. Annual International Conference on Macroeconomic Analysis and, Rethymno, Greece.

Schiltz, J., & Boissaux, M. (17 December 2014). A Numerical Scheme for Multisignal Weight Constrained Conditioned Portfolio Optimisation Problems [Paper presentation]. Quantitative Methods in Finance, Sydney, Australia.

Boissaux, M. (2013). A new optimal control formulation for conditioned portfolio optimisation problems [Doctoral thesis, Unilu - University of Luxembourg]. ORBilu-University of Luxembourg. https://orbilu.uni.lu/handle/10993/15508

Schiltz, J., & Boissaux, M. (2012). On the classical solution to the linear-constrained minimum energy problem. International Journal of Control, 1, 143-146. doi:10.1080/00207179.2011.641129
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