Dynamic Revised Mean-Variance Policy in a Market without Riskless Asset

被引：0

作者：

Gao, Yiqing ^{[1
]}

Cui, Xiangyu ^{[2
]}

Shi, Yun ^{[1
]}

Peng, Liumeng ^{[1
]}

机构：

[1] Shanghai Univ, Sch Management, Shanghai 200444, Peoples R China

[2] Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai 200433, Peoples R China

来源：

PROCEEDINGS OF THE 28TH CHINESE CONTROL AND DECISION CONFERENCE (2016 CCDC) | 2016年

关键词：

multi-period mean-variance model; time inconsistent in efficiency; revised policy; PORTFOLIO SELECTION;

D O I：

暂无

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

Due to the nonseparable variance term, the dynamic mean-variance portfolio selection in market without riskless asset is not time consistent or time consistent in efficiency. Similar to the market with riskless asset, the investor can perform as good as the truncated global optimal mean-variance policy with revised lower funding level. Thus, we propose a dynamic revised mean-variance policy, which is better than the global optimal policy.

引用

页码：1103 / 1107

页数：5

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