Predictive Control of Investment Portfolio on the Financial Market with Hidden Regime Switching and MS VAR Model of Returns.
Tatiana PashinskayaVladimir V. DombrovskiiPublished in: Autom. Remote. Control. (2021)
Keyphrases
- var model
- predictive control
- financial markets
- stock index futures
- stock index
- stock market
- market data
- control scheme
- portfolio selection
- neuro fuzzy
- stock price
- control strategy
- impulse response
- multiple models
- power plant
- investment strategies
- monte carlo simulation
- risk management
- financial institutions
- economic growth
- dynamic model
- exchange rate
- closed loop
- stock exchange
- control system
- portfolio theory
- portfolio management
- financial data
- data warehouse
- feature extraction
- portfolio optimization
- trading systems
- dynamic programming
- decision making
- machine learning