Limited Attention Allocation in a Stochastic Linear Quadratic System with Multiplicative Noise

By Xiangyu Cui, Jianjun Gao, Lingjie Kong

Published 2024-03-27

Everscope rating

1340.7

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

3 / 5

About this paper

Methodology: Stochastic Linear Quadratic Control with Limited Attention Allocation. Problem types: Portfolio Optimization, Risk Management.

arXiv:2403.18528 · Paper rankings

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