Dynamic investment portfolio control model in thefinancial market with regime switching under asset allocation constraints | Vestnik Tomskogo gosudarstvennogo universiteta. Upravlenie, vychislitelnaja tehnika i informatika – Tomsk State University Journal of Control and Computer Science. 2010. № 4(13).

Dynamic investment portfolio control model in thefinancial market with regime switching under asset allocation constraints

In the paper the problem of control of the invesrment portfolio consisting of risky and riskless assets under constraints on trading volume is considered. It is assumed that the dynamics of prices of risky financial assets is described by stochastic equations with a stepwise (jump-like) change of parameters that corresponds to the switching of the operating regimes of financial market. The random regime switching is defined by a finite state Markov chain with known transition probability matrix. The problem of portfolio optimization is formulated as a dynamic problem of tracking of the standard (hypothetical) portfolio having the prescribed effectiveness.We propose to use the model predictive control (MPC) methodology in order to solve the problem. The MPC proved to be an appropriate and effective technique to solve the dynamic control tasks under constraints. We obtain feed-back strategies of investment portfolio optimization with trading volume constraints. Optimal trading strategies computation include the solving of the sequence of quadratic programming tasks. We also present the numerical modeling results that give evidence of capacity and effectiveness of proposed approach.

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Keywords

model predictive control, constrains, Markovian jump, investment portfolio, мультипликативные шумы, марковские скачки, ограничения, управление с прогнозирующей моделью, инвестиционный портфель

Authors

Name	Organization	E-mail
Dombrovskii V.V.	Tomsk State University	dombrovs@ef.tsu.ru
Obyedko T.Yu.	Tomsk State University	tani4kin@mail.ru

Всего: 2

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