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

DOI10.1134/S0005117921050088zbMath1466.91297OpenAlexW3169032554MaRDI QIDQ2034839

T. Yu. Pashinskaya, V. V. Dombrovskii

Publication date: 23 June 2021

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0005117921050088

zbMATH Keywords

hidden Markov chainpredictive controlinvestment portfolioMarkov switching vector autoregression

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Financial markets (91G15)

Cites Work

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• RECURSIVE ESTIMATION IN SWITCHING AUTOREGRESSIONS WITH A MARKOV REGIME
• Model predictive control design for constrained Markov jump bilinear stochastic systems with an application in finance
• Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates

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