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on the discrete-time system control theory, this paper analyses the risk sensitivity in single-developer real estate investment process: \\[ \\left[{{x_{1,k+1}}\\atop {x_{2,k+1}}} \\right]= \\left[ \\begin{matrix} 1 &0\\\\ 0&\\alpha \\end{matrix}\\right] \\left[ {{x_{1k}} \\atop {x_{2k}}}\\right]+ \\left[ {{\\nu_{1k}} \\atop {\\nu_{2k}}} \\right]+ \\left[ \\begin{matrix} b_{11} &b_{12}\\\\ b_{21} &b_{21} \\end{matrix}\\right] \\left[ {{y_{1k}} \\atop {y_{2k}}} \\right], \\] where \\([x_{1k}, x_{2k}]^T= {\\mathbf X}_k\\) represents the self-own and lent capitals in the \\(k\\)th year, \\([\\nu_{1k}, \\nu_{2k}]^T= {\\mathbf V}_k\\) and \\([y_{1k}, y_{2k}]^T= {\\mathbf Y}_k\\) are respectively the control variables and risk variables. The profit \\(U_k\\) in the \\(k\\)th year is \\[ U_k= [c_1,c_2]{\\mathbf X}_k+ [d_1,d_2]{\\mathbf V}_k+fZ_k, \\] where \\(c_1\\) and \\(c_2\\) are respectively the profit rates of self-own and lent capitals, and \\(f\\) is the risk coefficient of profit. Assuming \\({\\mathbf Y}_k\\) and \\(Z_k\\) are uncorrelated, the minimum mean-square-error estimation of \\({\\mathbf X}_k\\) can be given by the Kalman filter: \\[ \\widehat{\\mathbf X}_{k+1}= \\text{diag} [1,\\alpha] \\widehat{\\mathbf X}_k+ {\\mathbf V}_k+ M_k (U_k- \\widehat{U}_k), \\qquad \\widehat{U}_k= [c_1,c_2] \\widehat{\\mathbf X}_k+ [d_1,d_2]{\\mathbf V}_k, \\] where \\(M_k= [m_{1k}, m_{2k}]^T\\) is the time-varying gain matrix. When choosing exponential state feedback as \\[ {\\mathbf V}_k= \\text{diag} [a_1^k,a_2^k] \\widehat{\\mathbf X}_k, \\quad 1> a_1,a_2\\geq 0, \\] the sensitivity of profit \\(\\widehat{U}_k\\) to risk \\((U_k-\\widehat{U}_k)\\) is the norm of a matrix \\(G\\), i.e. \\[ a=\\| G\\|, \\quad G= [c_1I+ C_{a_1^{-1}} d_1, c_2I+ C_{a_26{-1}} d_2] (T_1\\oplus T_2)^{-1} \\left[ {{m_1I} \\atop {m_2I}} \\right], \\] where \\(T_i\\), \\(i=1,2\\) have diagonal components \\(-(1+a_i^{-j})\\), \\(j=1,2,\\dots, N\\) and \\(C_{a_i^{-1}}\\), \\(i=1,2\\) are the composition operators defined by \\(C_{a_i^{-1}} X(z)= X(a_i^{-1}z)\\), where \\(X(z)\\) is the \\(z\\)-transform of \\({\\mathbf X}_k\\). The result shows that the risk sensitivity \\(a\\) can suitably describe the influence of a risk factor to the profit. It depends not only on the investment control coefficients \\(a_1\\) and \\(a_2\\), but also on the investment period \\(N\\). To decrease ris of loss, the investment should be controlled such that the risk sensitivity is suitably reduced.","type":"string"},"datatype":"string"},"type":"statement","id":"Q4489592$BF0152FB-5D55-493C-AF98-C3A5990BC932","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Publication:4489592","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Publication:4489592"}}}}}