EAGER: ON BUILDING A BRIDGE BETWEEN CLASSICAL CONTROL THEORY AND FINANCIAL MARKETS:

目的：该提案涉及基于反馈控制的投资方法，以取代传统的财务模型。我们的目标是利用反馈的属性，不需要精心的价格建模。与基本的反馈原理相一致，控制器是对价格的反应，而不是预测的性质。智力优点：这项研究将促进反馈原理在金融中的应用，作为经济建模的替代方案。 而不是使用不可靠的随机价格模型，我们把价格作为一个外部不受控制的输入，我们寻求强大的性能。反馈控制器简单地处理价格和可能的数量的历史，以确定适当的投资水平。在投资组合的背景下，控制器的设计将导致新的替代著名的马科维茨理论的权重的各种组件。拟议中的研究包括在所谓的理想化市场的性能稳健认证的概念。 该方法是用一种新的稳健性范式来评估投资策略，以取代昂贵而耗时的回溯测试。更广泛的影响：该研究计划为自我指导的投资者开发简单的配方和软件，这些投资者本质上是在与资本充足的对冲基金和大型金融机构竞争，这些机构能够承受潜在高回报的高风险赌注。我们设想为非专家举办研讨会，旨在教与会者如何管理投资，一个网站，教程文献和交易代码可以很容易地下载。这一研究方向有可能激励新一代系统工程研究生考虑从事金融业。

Objective: The proposal deals with feedback control based methods for investment in lieu of the traditional financial models. The goal is to exploit the properties of feedback which do not require elaborate price modeling. Consistent with basic feedback principles, the controllers are reactive to price rather than predictive in nature.Intellectual Merit: The research will stimulate the application of feedback principles in finance as an alternative to economic modeling. Rather than using unreliable stochastic price models, we treat price as an external uncontrolled input against which we seek robust performance. The feedback controller simply processes the history of price and possibly volume to determine the appropriate level of investment. In a portfolio context, controller design will result in new alternatives to the celebrated Markowitz theory for weighting of various components. The proposed research includes the notion of robust certification of performance in a so-called idealized market. The approach is to replace expensive and time consuming back-tests with a new robustness paradigm for evaluating investment strategies.Broader Impact: The research plans to develop simple recipes and software for the self-directed investor who is in essence competing against well capitalized hedge funds and large financial institutions that can afford to take risky bets with potentially high payoffs. We envision workshops for non-experts aimed to teach attendees how to manage investments, a web site from which tutorial literature and trading codes can be readily downloaded. This line of research has the potential to motivate a new generation of graduate students in systems engineering to consider careers in finance.