Time-Consistent Strategies for a Multiperiod Mean-Variance Portfolio Selection Problem
Time-Consistent Strategies for a Multiperiod Mean-Variance Portfolio Selection Problem
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DOI：
10.1155/2013/841627
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发表时间：
2013-04
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通讯作者：
Huiling Wu
中科院分区：
文献类型：
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作者：
Huiling Wu
对于马科维茨均值-方差投资组合优化问题的预承诺策略的研究在过去的几年里一直很流行，但对其时间一致性策略的研究并不多见。本文研究了多周期均值-方差投资组合问题的时间一致纳什均衡策略。假设风险厌恶分别是一个常数和当前财富水平的函数，得到了时间一致纳什均衡策略和均衡价值函数的显式表达式。通过数值敏感性分析和与经典预承诺解的比较，确定了时间一致结果的许多有趣性质。
It remained prevalent in the past years to obtain the precommitment strategies for Markowitz's mean-variance portfolio optimization problems, but not much is known about their time-consistent strategies. This paper takes a step to investigate the time-consistent Nash equilibrium strategies for a multiperiod mean-variance portfolio selection problem. Under the assumption that the risk aversion is, respectively, a constant and a function of current wealth level, we obtain the explicit expressions for the time-consistent Nash equilibrium strategy and the equilibrium value function. Many interesting properties of the time-consistent results are identified through numerical sensitivity analysis and by comparing them with the classical pre-commitment solutions.