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Dynamic Control of the Investment Portfolio in the Jump-Diffusion Financial Market with Regime Switching

  • Control in Social Economic Systems
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Abstract

A problem for control of the portfolio of securities consisting of risky and riskless investments is stated as a dynamic problem of tracking of the standard (hypothetical) portfolio displaying the prescribed desired effectiveness. It is assume that the dynamics of prices of risky financial assets is described by stochastic equations with regular and pulse disturbances and a step (jump-like) change of parameters that corresponds to the switching of the operating regimes a financial market. An approach to the evaluation of an optimal strategy of feedback control over a quadratic criterion is suggested.

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Authors and Affiliations

  1. Tomsk State University, Tomsk, Russia

    V. A. Gal’perin, V. V. Dombrovsky & E. N. Fedosov

Authors
  1. V. A. Gal’perin
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  2. V. V. Dombrovsky
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  3. E. N. Fedosov
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__________

Translated from Avtomatika i Telemekhanika, No. 5, 2005, pp. 175–189.

Original Russian Text Copyright © 2005 by Gal’perin, Dombrovsky, Fedosov.

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Gal’perin, V.A., Dombrovsky, V.V. & Fedosov, E.N. Dynamic Control of the Investment Portfolio in the Jump-Diffusion Financial Market with Regime Switching. Autom Remote Control 66, 837–850 (2005). https://doi.org/10.1007/s10513-005-0127-9

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  • DOI: https://doi.org/10.1007/s10513-005-0127-9

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