Click here to flash read.
arXiv:2403.18528v1 Announce Type: new
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.
Click here to read this post out
ID: 806953; Unique Viewers: 0
Unique Voters: 0
Total Votes: 0
Votes:
Latest Change: March 28, 2024, 7:32 a.m.
Changes:
Dictionaries:
Words:
Spaces:
Views: 12
CC:
No creative common's license
No creative common's license
Comments: