Limited Attention Allocation in a Stochastic Linear Quadratic System with Multiplicative Noise
Optimization and Control
2024-03-28 v1 Mathematical Finance
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.
Keywords
Cite
@article{arxiv.2403.18528,
title = {Limited Attention Allocation in a Stochastic Linear Quadratic System with Multiplicative Noise},
author = {Xiangyu Cui and Jianjun Gao and Lingjie Kong},
journal= {arXiv preprint arXiv:2403.18528},
year = {2024}
}