THE RESEARCH OF H ∞ CONTROL THEORY APPLICATION TO FINANCIAL RISK OF ASSES REGROUPING
Huang Xiao-yuan · Information and Computation · 1998
This paper proposed a discrete time system model of assets regrouping on the basis of Mulvey's stochastic assets allocation model. And presented the singular control strategies, which could minimize the financial risk in the process of assets regrouping, by use of reduced order method. Finally, based on complex function theory, we also gave the analysis solutions of this problem.