Predictive Control of Investment Portfolio on the Financial Market with Hidden Regime Switching and MS VAR Model of Returns

被引：1

作者：

Pashinskaya, T. Yu ^{[1
]}

Dombrovskii, V. V. ^{[1
]}

机构：

[1] Tomsk State Univ, Tomsk 634050, Russia

来源：

AUTOMATION AND REMOTE CONTROL | 2021年 / 82卷 / 05期

关键词：

investment portfolio; predictive control; Markov switching vector autoregression; hidden Markov chain; OPTIMIZATION;

D O I：

10.1134/S0005117921050088

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

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.

引用

页码：841 / 852

页数：12

共 13 条

[1] Portfolio optimization with Markov-modulated stock prices and interest rates [J].