RISK MINIMIZATION BY LINEAR FEEDBACK

Abstract

This paper offers an introduction to dynamic economic planning under uncertainty, i.e. the use of econometric models together with mathematical optimization methods for the analysis and quantitative determination of optimal economic policies. The corresponding basic methodology (optimal feedback stochastic control of linear econometric models given a quadratic cost functional) is presented with particular regard to its practical application. The method is then applied for demonstration purposes to an econometric model of the Federal Republic of Germany.

Citation

STÖPPLER, S. (1979), "RISK MINIMIZATION BY LINEAR FEEDBACK", Kybernetes, Vol. 8 No. 3, pp. 171-184. https://doi.org/10.1108/eb005519