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Avtomatika i Telemekhanika, 2021, Issue 5, Pages 124–138
DOI: https://doi.org/10.31857/S0005231021050081 (Mi at15587) 		 
This article is cited in 1 scientific paper (total in 1 paper)

Control in Social Economic Systems

Predictive control of investment portfolio on the financial market with hidden regime switching and MS VAR model of returns

T. Yu. Pashinskaya, V. V. Dombrovskii

Tomsk State University, Tomsk, 634050 Russia
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DOI: https://doi.org/10.31857/S0005231021050081
Abstract: We consider the problem of managing an investment portfolio in the financial market with switching of regimes taking into account constraints on the volume of investments and loans. It is assumed that the returns on risky assets are described by a vector autoregressive model with hidden regime switching (Markov Switching Vector Autoregression, MS VAR). The EM algorithm is used to estimate the parameters. The results of numerical modeling using real data of the Russian stock market are presented.
Keywords: investment portfolio, predictive control, Markov switching vector autoregression, hidden Markov chain.
Presented by the member of Editorial Board: A. V. Nazin

Received: 31.10.2020
Revised: 08.12.2020
Accepted: 15.01.2021
English version:
Automation and Remote Control, 2021, Volume 82, Issue 5, Pages 841–852
DOI: https://doi.org/10.1134/S0005117921050088
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: T. Yu. Pashinskaya, V. V. Dombrovskii, “Predictive control of investment portfolio on the financial market with hidden regime switching and MS VAR model of returns”, Avtomat. i Telemekh., 2021, no. 5, 124–138; Autom. Remote Control, 82:5 (2021), 841–852
Citation in format AMSBIB
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    • This publication is cited in the following 1 articles:
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