Predictive Control of Investment Portfolio on the Financial Market with Hidden Regime Switching and MS VAR Model of Returns
Author:
Publisher
Pleiades Publishing Ltd
Subject
Control and Systems Engineering,Electrical and Electronic Engineering
Link
https://link.springer.com/content/pdf/10.1134/S0005117921050088.pdf
Reference13 articles.
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2. Bäuerle, N. and Rieder, U., Portfolio optimization with Markov-modulated stock prices and interest rates, IEEE Trans. Autom. Control, 2004, vol. 49, no. 3, pp. 442–447. https://doi.org/10.1109/TAC.2004.824471
3. Sotomayor, L.R. and Cadenillas, A., Explicit solutions of consumption-investment problems in financial markets with regime switching, Math. Finance, 2009, vol. 19, no. 2, pp. 251–279. https://doi.org/10.1111/j.1467-9965.2009.00366.x
4. Wu, H., Mean-variance portfolio selection with a stochastic cash flow in a Markov-switching jump-diffusion market, J. Optim. Theory Appl., 2013, vol. 158, pp. 918–934. https://doi.org/10.1007/s10957-013-0292-x
5. Levy, M. and Kaplanski, G., Portfolio selection in two–regime world, Eur. J. Oper. Res., 2015, vol. 241, pp. 514–524. https://doi.org/10.1016/j.ejor.2014.10.012
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