Srikanth Sridharan and Armando A. Rodriguez
Portfolio, Finance, State Feedback, LMIs
In this paper, we consider the problem of financial portfolio optimization. We examine the limits of achievable performance as computed using conventional mean-variance optimization strategies. Due to the limitations of this approach, a state-feedback controller is design based on tracking performance via convex optimization techniques. The advantages of such an approach are presented with a real-world example.
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