证券价格长期波动控制系统的最优控制策略

THE OPTIMAL CONTROL STRATEGIES FOR THE CONTROL SYSTEM WITH PRICES LONG-TERM VOLATILITY IN STOCK MARKETS

探讨证券价格长期波动控制系统的最优控制问题.建立了在有效市场条件下证券价格长期波动的控制系统模型.为了使证券价格和内在价值按照人们预期的目标变化,探讨了对它们服从的系统采用经典信息结构下的随机最优控制策略问题.设计了使系统的输出跟踪证券内在价值的估计值,同时使调节控制的幅度尽可能小的性能指标,给出了最优控制策略的求解公式和计算过程,并给出了考虑系统性能的计算过程,对相应结果进行了分析.主要结论是:当价值对价格的均衡回归调整不足,或投资者对前期价值的增值预期乐观时,最优控制策略所起的作用在加强;而当价值对价格的均衡回归调整过度,或投资者对前期价值的增值预期悲观时,最优控制策略所起的作用在减弱.这些结果可以为完善证券市场和上市公司的监管提供理论依据.

The random optimal control of the control system with prices long-term volatility in stock markets is discussed. The control system model of prices long-term volatility in stock markets is established. To make the stocks price and the inherent value develop in accordance with the expecting target of people, the random optimal control strategies were discussed. The performance index makes the system output tracks the estimate value of stocks intrinsic value and the adjustment and control range be as small as possible. The related formula and calculating process of the optimal control strategy were given, and the calculating process with consideration of system performance was given. The main conclusions are that when the equilibrium regress adjustment of stocks intrinsic value on stocks price is not enough or investors are optimistic for the increment expectation of the prophase stocks intrinsic value, the functions in the optimal control strategies will be strengthened; however, when the equilibrium regress adjustment of stocks intrinsic value on stocks price is excessive, and investors are pessimistic for the increment expectation of the prophase value, the functions in the optimal control strategies will be weakened. These results can provide the theoretic basis for improving government＇s supervision on stock markets and list companies.