Design of Portfolio Optimization Strategies and Limitations of Performance Analysis

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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