The strategy of Portfolio Investment Based on H_∞ Control with State Feedback
LI Pei-pei · Ludong University Journal · 2006
A time-varying discrete systems' state-space model and a performance index of risk's scale in the form of quadratic function were proposed in order to study a portfolio investment problem which would minimize the uncertainty of the gross income.Based on the new model and the performable index,the H_∞ control theory with state feedback for time-varying discrete systems was applied,and a strategy of H_∞ control with state feedback for portfolio investment was also given.Accordingly,the purpose of the increase of total assets could be achieved.