规避资产重组金融风险的鲁棒H∞控制策略研究

摘要

将资产重组过程中收益率的随机性通过其不确定性摄动和系统的不确定性扰动输入来体现，建立了资产重组问题的离散时间系统模型，基于时变离散系统H∞优化设计思想，求得资本运营过程中能够确保资产财富按预期目标增值，有效抑制和防范金融风险的鲁棒H∞控制策略，并通过一算例说明了算法的有效性.%This paper proposed a discrete-time system model of assetsregroupin g with return rate uncertainty and external noise input. Based on the H∞ control theory method, this paper also gave the corresponding robust H∞co n trol strategy, which could attenuate financial risk to a given level. Finally, a n illustrating example indicated that the regrouped assets could track target va lue effectively by taking this H∞ strategy.