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Avtomatika i Telemekhanika, 2005, Issue 5, Pages 175–189 (Mi at1378)  
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
Full-text PDF (424 kB) Citations (10)
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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.
Presented by the member of Editorial Board: A. I. Kibzun

Received: 28.10.2003
English version:
Automation and Remote Control, 2005, Volume 66, Issue 5, Pages 837–850
DOI: https://doi.org/10.1007/s10513-005-0127-9
Bibliographic databases:
Document Type: Article
Language: Russian
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
Citation in format AMSBIB
\Bibitem{GalDomFed05}
\by V.~A.~Gal'perin, V.~V.~Dombrovskii, E.~N.~Fedosov
\paper Dynamic control of the investment portfolio in the jump-diffusion financial market with regime switching
\jour Avtomat. i Telemekh.
\yr 2005
\issue 5
\pages 175--189
\mathnet{http://mi.mathnet.ru/at1378}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=2146764}
\zmath{https://zbmath.org/?q=an:1081.91016}
\transl
\jour Autom. Remote Control
\yr 2005
\vol 66
\issue 5
\pages 837--850
\crossref{https://doi.org/10.1007/s10513-005-0127-9}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-18844430532}
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  • https://www.mathnet.ru/eng/at/y2005/i5/p175
    • This publication is cited in the following 10 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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    Full-text PDF :118
    References:42
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