Limited Attention Allocation in a Stochastic Linear Quadratic System with Multiplicative Noise
arxiv(2024)
摘要
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.
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