Avtomatika i Telemekhanika
RUS  ENG    JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB  
General information
Latest issue
Archive
Impact factor
Guidelines for authors
Submit a manuscript

Search papers
Search references

RSS
Latest issue
Current issues
Archive issues
What is RSS


Avtomat. i Telemekh.:
Year:
Volume:
Issue:
Page:
Find




Personal entry:
Login:
Password:
Save password
Enter
Forgotten password?
Register

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
Full-text PDF (472 kB) Citations (1)
References:
PDF
HTML
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
\Bibitem{PasDom21}
\by T.~Yu.~Pashinskaya, V.~V.~Dombrovskii
\paper Predictive control of investment portfolio on the financial market with hidden regime switching and MS VAR model of returns
\jour Avtomat. i Telemekh.
\yr 2021
\issue 5
\pages 124--138
\mathnet{http://mi.mathnet.ru/at15587}
\crossref{https://doi.org/10.31857/S0005231021050081}
\elib{https://elibrary.ru/item.asp?id=46866669}
\transl
\jour Autom. Remote Control
\yr 2021
\vol 82
\issue 5
\pages 841--852
\crossref{https://doi.org/10.1134/S0005117921050088}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=000656916600008}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-85107378924}
Linking options:
  • https://www.mathnet.ru/eng/at15587
  • https://www.mathnet.ru/eng/at/y2021/i5/p124
    • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Avtomatika i Telemekhanika
    Statistics & downloads:
    Abstract page:134
    Full-text PDF :5
    References:14
    First page:13
     
      Contact us:
    		  Terms of Use  Registration to the website  Logotypes © Steklov Mathematical Institute RAS, 2024