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| Hauptverfasser: | , , |
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| Format: | Preprint |
| Veröffentlicht: |
2024
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| Schlagworte: | |
| Online-Zugang: | https://arxiv.org/abs/2403.18528 |
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| _version_ | 1866916180127645696 |
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| author | Cui, Xiangyu Gao, Jianjun Kong, Lingjie |
| author_facet | Cui, Xiangyu Gao, Jianjun Kong, Lingjie |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2403_18528 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Limited Attention Allocation in a Stochastic Linear Quadratic System with Multiplicative Noise Cui, Xiangyu Gao, Jianjun Kong, Lingjie Optimization and Control Mathematical Finance 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. |
| title | Limited Attention Allocation in a Stochastic Linear Quadratic System with Multiplicative Noise |
| topic | Optimization and Control Mathematical Finance |
| url | https://arxiv.org/abs/2403.18528 |