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Mathematics > Optimization and Control
Title: Limited Attention Allocation in a Stochastic Linear Quadratic System with Multiplicative Noise
(Submitted on 27 Mar 2024)
Abstract: 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.
Submission history
From: Xiangyu Cui Prof. [view email][v1] Wed, 27 Mar 2024 13:00:10 GMT (2643kb,D)
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