This article is cited in 12 papers

Control in Social Economic Systems

Dynamic control of the investment portfolio in the jump-diffusion financial market with regime switching

V. A. Gal'perin, V. V. Dombrovskii, E. N. Fedosov

Tomsk State University

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.

Presented by the member of Editorial Board: A. I. Kibzun

Received: 28.10.2003

 English version: Automation and Remote Control, 2005, 66:5, 837–850

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