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Avtomatika i Telemekhanika, 2005, Issue 5, Pages 175–189
(Mi at1378)
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This article is cited in 10 scientific papers (total in 10 papers)
Control in Social Economic Systems
Dynamic control of the investment portfolio in the jump-diffusion financial market with regime switching
V. A. Gal'perin, V. V. Dombrovskii, E. N. Fedosov Tomsk State University
Abstract:
A problem for control of the portfolio of securities consisting of risky and riskless investments is stated as
a dynamic problem of tracking of the standard (hypothetical) portfolio displaying the prescribed desired effectiveness. It is assume that the dynamics of prices of risky financial assets is described by stochastic equations with regular and pulse disturbances and a step (jump-like) change of parameters that corresponds to the switching of the operating regimes a financial market. An approach to the evaluation of an optimal strategy of feedback control over a quadratic criterion is suggested.
Citation:
V. A. Gal'perin, V. V. Dombrovskii, E. N. Fedosov, “Dynamic control of the investment portfolio in the jump-diffusion financial market with regime switching”, Avtomat. i Telemekh., 2005, no. 5, 175–189; Autom. Remote Control, 66:5 (2005), 837–850
Linking options:
https://www.mathnet.ru/eng/at1378 https://www.mathnet.ru/eng/at/y2005/i5/p175
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Statistics & downloads: |
Abstract page: | 387 | Full-text PDF : | 118 | References: | 42 | First page: | 1 |
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