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《Journal of Systems Engineering》 2001-01
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The H_∞ control strategy analysis of financial risk attenuation about assets regrouping

ZHONG Mai ying 1,HUANG Xiao yuan 2,TANG Bing yong 1 (1.School of Business and Management, Donghua University, Shanghai 200051,China; 2.Faculty of Business Administration, Northeastern University, Shenyang 110006, China)  
This paper proposed a discrete time system model of assets regrouping with return rate uncertainty and external noise input. Based on the H ∞ control theory method, this paper also gave the corresponding robust H ∞control strategy, which could attenuate financial risk to a given level. Finally, an illustrating example indicated that the regrouped assets could track target value effectively by taking this H ∞ strategy.
【CateGory Index】: F830.9
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