Portfolio optimization in the financial market withserially dependent returns under constraints
In this work we consider the optimal portfolio selection problem under hard constraintson trading volume amounts. We assume that the risky asset returns are seriallydependent processes with finite conditional moments. The problem of portfoliooptimization is stated as a dynamic problem of tracking a financial benchmark.We propose to use the model predictive control (MPC) methodology in orderto solve the problem. We also present the numerical modeling results that giveevidence of capacity and effectiveness of proposed approach.
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Keywords
model predictive control, serially dependent returns, investment portfolio, управление с прогнозирующей моделью, сериально зависимые доходности, инвестиционный портфельAuthors
| Name | Organization | |
| Dombrovskii Vladimir V. | National Research Tomsk State University | dombrovs@ef.tsu.ru |
| Obyedko Tatyana Yu. | National Research Tomsk State University | tani4kin@mail.ru |
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