基于H_∞状态反馈控制的证券组合投资策略  

The strategy of Portfolio Investment Based on H_∞ Control with State Feedback

作　　者：李培培[1] 刘晓华[2] 

机构地区：[1]青岛理工大学经贸学院,山东青岛266520 [2]鲁东大学科研处,山东烟台264025

出　　处：《鲁东大学学报（自然科学版）》2006年第4期289-292,296,共5页Journal of Ludong University:Natural Science Edition

基　　金：山东省自然科学基金(Y2005G01)

摘　　要：为研究使总收益实现最小不确定性的证券组合投资问题,建立了证券组合投资的离散时变状态空间模型,并提出了一个衡量风险大小的二次型性能指标.在这一新的模型和性能指标的基础上,运用离散时变系统的H∞状态反馈控制理论,得到了证券组合投资的H∞状态反馈控制策略.使用该控制策略可实现总资产按预期目标增长的控制目的.A time-varying discrete systems＇ state-space model and a performance index of risk＇s scale in the form of quadratic function were p 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.

关 键 词：证券组合投资 离散时变系统 H∞状态反馈控制 

分 类 号：F224.1[经济管理—国民经济]