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英文标题：
《Dynamic Investment Portfolio Optimization under Constraints in the
Financial Market with Regime Switching using Model Predictive Control》
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作者：
Vladimir Dombrovskii, Tatyana Obyedko
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最新提交年份：
2014
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英文摘要：
In this work, we consider the optimal portfolio selection problem under hard constraints on trading volume amounts when the dynamics of the risky asset returns are governed by a discrete-time approximation of the Markov-modulated geometric Brownian motion. The states of Markov chain are interpreted as the states of an economy. The problem is stated as a dynamic tracking problem of a reference portfolio with desired return. We propose to use the model predictive control (MPC) methodology in order to obtain feedback trading strategies. Our approach is tested on a set of a real data from the radically different financial markets: the Russian Stock Exchange MICEX, the New York Stock Exchange and the Foreign Exchange Market (FOREX).
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中文摘要：
在这项工作中，我们考虑了在交易量硬约束下的最优投资组合选择问题，当风险资产收益的动态由马尔可夫调制几何布朗运动的离散时间近似控制时。马尔可夫链的状态被解释为经济的状态。该问题被描述为具有期望收益的参考投资组合的动态跟踪问题。我们建议使用模型预测控制（MPC）方法来获得反馈交易策略。我们的方法是在一组来自完全不同的金融市场的真实数据上进行测试的：俄罗斯证券交易所MICEX、纽约证券交易所和外汇市场（FOREX）。
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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