  Regime-switching poses both problems and opportunities for portfolio
managers. If a switch in the behaviour of the markets is not quickly detected
it can be a source of loss, since previous trading positions may be
inappropriate in the new regime. However, if a regime-switch can be detected
quickly, and especially if it can be predicted ahead of time, these changes in
market behaviour can instead be a source of substantial profit. The work of
this paper builds on two previous works by the authors, the first of these
dealing with regime detection and the second, which is an extension of the
first, with regime prediction. Specifically, this work uses our previous
regime-prediction model (KMRF) within a framework of multi-period portfolio
optimisation, achieved by model predictive control, (MPC), with the
KMRF-derived return estimates accuracy-boosted by means of a novel use of a
Kalman filter. The resulting proposed model, which we term the KMRF+MPC model,
to reflect its constituent methodologies, is demonstrated to outperform
industry-standard benchmarks, even though it is restricted, in order to be
acceptable to the widest range of investors, to long-only positions.
