scientific article; zbMATH DE number 1474998
Based 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.
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