Application on Robust Guaranteed Cost Control Method in Portfolios

This text applies robust guaranteed cost control method to study a dynamic portfolio management problem over a finite horizon with transaction costs and cost index. Some restrictions make up a indeterminacy discrete system. The economic restrictions in the dynamic portfolio management problem are translated into a indeterminacy discrete system in control, which makes a complicated problem easier. At last we apply robust guaranteed cost control method and make use of LMI toolbox of Matlab to solve this problem, meanwhile we give the existent condition of anticipant state feedback control and analytic expression.