THE RESEARCH OF H∞ CONTROL THEORY APPLICATION TO FINANCIAL RISK OF ASSES REGROUPING
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摘要: 在随机资产模型的基础上，建立了资产重组问题的离散时间系统模型，运用降阶方法推导了在资产重组过程中使风险最小的奇异控制策略．最后，根据复变函数理论求解范数的方法求得了问题的解析解．Abstract: 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.
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Keywords:
- asset regrouping /
- singular H∞ control /
- financial risk /
- discrete-time system
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