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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
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.
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
Linking options:
https://www.mathnet.ru/eng/at15587 https://www.mathnet.ru/eng/at/y2021/i5/p124
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Abstract page: | 134 | Full-text PDF : | 5 | References: | 14 | First page: | 13 |
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