{"title":"Limited Attention Allocation in a Stochastic Linear Quadratic System with Multiplicative Noise","authors":"Xiangyu Cui, Jianjun Gao, Lingjie Kong","doi":"arxiv-2403.18528","DOIUrl":null,"url":null,"abstract":"This study addresses limited attention allocation in a stochastic linear\nquadratic system with multiplicative noise. Our approach enables strategic\nresource allocation to enhance noise estimation and improve control decisions.\nWe provide analytical optimal control and propose a numerical method for\noptimal attention allocation. Additionally, we apply our ffndings to dynamic\nmean-variance portfolio selection, showing effective resource allocation across\ntime periods and factors, providing valuable insights for investors.","PeriodicalId":501084,"journal":{"name":"arXiv - QuantFin - Mathematical Finance","volume":"142 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-03-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - Mathematical Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2403.18528","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
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.
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