带有乘法噪声的随机线性二次系统中的有限注意力分配

arXiv - QuantFin - Mathematical Finance Pub Date : 2024-03-27 DOI:arxiv-2403.18528

Xiangyu Cui, Jianjun Gao, Lingjie Kong

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引用次数: 0

摘要

本研究探讨了具有乘法噪声的随机线性二次系统中的有限注意力分配问题。我们提供了分析最优控制，并提出了最优注意力分配的数值方法。此外，我们还将研究结果应用于动态均方差投资组合选择，展示了跨时间段和跨因素的有效资源分配，为投资者提供了宝贵的见解。

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Limited Attention Allocation in a Stochastic Linear Quadratic System with Multiplicative Noise

This study addresses limited attention allocation in a stochastic linear quadratic system with multiplicative noise. Our approach enables strategic resource allocation to enhance noise estimation and improve control decisions. We provide analytical optimal control and propose a numerical method for optimal attention allocation. Additionally, we apply our ffndings to dynamic mean-variance portfolio selection, showing effective resource allocation across time periods and factors, providing valuable insights for investors.

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arXiv - QuantFin - Mathematical Finance

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