English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Plus monthly

Global: Zendy Tools annual

Global: Zendy Tools monthly

Global: Zendy Free Plan

In this work, we consider the optimal portfolio selection problem under hardconstraints on trading volume amounts when the dynamics of the risky assetreturns are governed by a discrete-time approximation of the Markov-modulatedgeometric Brownian motion. The states of Markov chain are interpreted as thestates of an economy. The problem is stated as a dynamic tracking problem of areference portfolio with desired return. We propose to use the model predictivecontrol (MPC) methodology in order to obtain feedback trading strategies. Ourapproach is tested on a set of a real data from the radically differentfinancial markets: the Russian Stock Exchange MICEX, the New York StockExchange and the Foreign Exchange Market (FOREX).

Dynamic Investment Portfolio Optimization under Constraints in the Financial Market with Regime Switching using Model Predictive Control