Parameter Estimation and Sensitivity Analysis of an Optimal Control Model for Capital Asset Management

<div>Graph of expected present value of the utility of asset <svg height="12.7178pt" id="M179" style="vertical-align:-3.42947pt" version="1.1" viewbox="-0.0498162 -9.28833 23.5613 12.7178" width="23.5613pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M429 650H175L169 622C251 614 259 612 244 532L174 152C163 91 152 37 135 -6C109 -72 67 -101 23 -113L33 -144C45 -143 73 -134 102 -119C186 -76 229 -1 254 133L327 532C341 609 347 613 423 622L429 650Z" id="g113-75"></path></g><g transform="matrix(.013,0,0,-0.013,5.879,0)"><path d="M300 -147C201 -63 143 98 143 270S200 602 300 686L282 710C136 610 70 450 70 271V270C70 89 136 -72 282 -170L300 -147Z" id="g113-41"></path></g><g transform="matrix(.013,0,0,-0.013,10.377,0)"><path d="M642 419L635 448C586 435 552 411 532 392C518 379 509 351 496 304C484 260 462 196 445 150C424 93 388 40 314 30L413 508L406 510L344 491L257 36C205 46 175 84 175 169C175 195 180 241 185 277C189 304 190 331 190 358C190 413 175 448 141 448C111 448 69 429 23 373L30 347C51 365 68 375 81 375C93 375 108 368 108 327C108 307 104 268 101 239C98 211 95 180 95 155C95 33 159 -8 248 -14L213 -186C206 -220 221 -254 230 -261L261 -230L306 -11C339 -4 366 6 389 20C431 46 473 87 503 155C533 224 557 286 571 325C586 367 606 393 642 419Z" id="g113-245"></path></g><g transform="matrix(.013,0,0,-0.013,18.881,0)"><path d="M275 270C275 450 212 609 64 710L45 686C145 604 203 442 203 270S147 -63 45 -147L64 -170C213 -68 275 89 275 270Z" id="g113-42"></path></g></svg> versus control <svg height="10.2124pt" id="M180" style="vertical-align:-3.42943pt" version="1.1" viewbox="-0.0498162 -6.78297 8.63352 10.2124" width="8.63352pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M642 419L635 448C586 435 552 411 532 392C518 379 509 351 496 304C484 260 462 196 445 150C424 93 388 40 314 30L413 508L406 510L344 491L257 36C205 46 175 84 175 169C175 195 180 241 185 277C189 304 190 331 190 358C190 413 175 448 141 448C111 448 69 429 23 373L30 347C51 365 68 375 81 375C93 375 108 368 108 327C108 307 104 268 101 239C98 211 95 180 95 155C95 33 159 -8 248 -14L213 -186C206 -220 221 -254 230 -261L261 -230L306 -11C339 -4 366 6 389 20C431 46 473 87 503 155C533 224 557 286 571 325C586 367 606 393 642 419Z" id="g113-245"></path></g></svg> and degree of relative risk <svg height="9.49473pt" id="M181" style="vertical-align:-0.2063999pt" version="1.1" viewbox="-0.0498162 -9.28833 7.30254 9.49473" width="7.30254pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M529 97L508 118C475 75 449 58 438 58C428 58 421 66 415 104C393 234 374 403 364 496C345 670 307 712 254 712C220 712 174 691 153 669L161 645C176 653 194 658 206 658C237 658 261 640 278 562C287 522 290 483 293 434C223 269 110 105 23 9L32 -12C59 -6 85 0 108 7C152 64 251 252 300 366C307 297 315 221 337 82C346 24 363 -12 393 -12C425 -12 475 13 529 97Z" id="g113-233"></path></g></svg> while subjective discount rate <svg height="9.39034pt" id="M182" style="vertical-align:-3.42943pt" version="1.1" viewbox="-0.0498162 -5.96091 6.54569 9.39034" width="6.54569pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M471 401C471 442 455 448 440 448C421 448 389 439 366 424C314 390 233 331 165 242H163L187 345C193 372 197 393 197 409C197 435 189 448 174 448C146 448 80 408 23 349L40 327C64 351 97 373 107 373C115 373 118 366 111 337L29 -4L36 -12C56 -4 83 3 110 9C123 69 136 126 150 172C227 283 336 381 377 381C392 381 396 370 379 298L326 74C290 -77 273 -172 273 -197C273 -219 316 -261 346 -261L353 -246C348 -227 352 -174 374 -66L457 310C467 352 471 381 471 401Z" id="g113-229"></path></g></svg> is fixed at <span class="nowrap"><svg height="8.55521pt" id="M183" style="vertical-align:-0.2063904pt" version="1.1" viewbox="-0.0498162 -8.34882 15.6015 8.55521" width="15.6015pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M241 635C89 635 35 457 35 312C35 153 89 -12 240 -12C390 -12 443 166 443 312C443 466 390 635 241 635ZM238 602C329 602 354 454 354 312C354 172 330 22 240 22C152 22 124 173 124 313S148 602 238 602Z" id="g113-49"></path></g><g transform="matrix(.013,0,0,-0.013,6.24,0)"><path d="M113 -12C146 -12 170 11 170 46C170 78 146 103 114 103S58 78 58 46C58 11 82 -12 113 -12Z" id="g113-47"></path></g><g transform="matrix(.013,0,0,-0.013,9.204,0)"><path d="M244 635C114 635 38 519 38 422C38 317 111 240 217 240C236 240 255 244 277 256L345 292C311 140 203 39 59 15L64 -15C89 -15 150 -5 204 17C339 72 440 202 440 386C440 521 368 635 244 635ZM228 602C326 602 352 479 352 390C352 370 351 347 348 324C327 308 293 296 258 296C174 296 124 369 124 458C124 517 152 602 228 602Z" id="g113-58"></path></g></svg>.</span></div>

Advances in Fuzzy Systems

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Figure 3

Figure 3: Parameter Estimation and Sensitivity Analysis of an Optimal Control Model for Capital Asset Management 