A Control Strategy for Portfolio Investment with Uncertainty of the Return Rates

摘要

A model with the existence of uncertain disturbances in the rates of return is proposed to study a portfolio investment problem. This problem is under the considering of both the investment of risk-free assets and the investment of risky assets. A cost function in the form of quadratic function is also given. The H∞ control theory with state feedback for time-varying discrete systems is applied to this new model. And a strategy of H∞ control with state feedback for portfolio investment is obtained. An example shows that the purpose of the increase of total amount of assets according to the expected one could be achieved by using this strategy.