Predictive control strategies for investment portfolio in the financial market with hidden regime switching | Vestnik Tomskogo gosudarstvennogo universiteta. Upravlenie, vychislitelnaja tehnika i informatika – Tomsk State University Journal of Control and Computer Science. 2020. № 50. DOI: 10.17223/19988605/50/1

Predictive control strategies for investment portfolio in the financial market with hidden regime switching

The article considers the task of managing an investment portfolio in the financial market with switching modes, taking into account explicit restrictions on the volume of investments and loans and transaction costs. It is assumed that the parameters of financial assets change in accordance with the evolution of the discrete hidden Markov chain. To evaluate the parameters, an adaptive EM algorithm is used. The results of numerical modeling using real data from the Russian stock market are presented.

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Keywords

constraints, model predictive control, hidden Markov chain, investment portfolio, ограничения, прогнозирующее управление, скрытая марковская цепь, инвестиционный портфель

Authors

NameOrganizationE-mail
Pashinskaya Tatiana Yu.Tomsk State Universitytani4kin@mail.ru
Dombrovskii Vladimir V.Tomsk State Universitydombrovs@ef.tsu.ru
Всего: 2

References

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 Predictive control strategies for investment portfolio in the financial market with hidden regime switching | Vestnik Tomskogo gosudarstvennogo universiteta. Upravlenie, vychislitelnaja tehnika i informatika – Tomsk State University Journal of Control and Computer Science. 2020. № 50. DOI: 10.17223/19988605/50/1

Predictive control strategies for investment portfolio in the financial market with hidden regime switching | Vestnik Tomskogo gosudarstvennogo universiteta. Upravlenie, vychislitelnaja tehnika i informatika – Tomsk State University Journal of Control and Computer Science. 2020. № 50. DOI: 10.17223/19988605/50/1

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