The adaptive control of investment portfolio
The optimal control problemof investment portfolio (IP) is considered. The IP state-space structure is described by system of difference equations with randomjumping parameters. The equations parameters change according to discrete Markov chain evolution. The IP control algorithmwith using the adaptive filtration of equations parameters, describing IP structure, is proposed. The numerical modeling results arepresented.
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Authors
| Name | Organization | |
| Gerasimov E.S. | Tomsk State University | evgen@ic.tsu.ru |
| Dombrovskiy V.V. | Tomsk State University | dombrovs@ef.tsu.ru |
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