Multiperiod mean-standard-deviation time consistent portfolio selection

被引：11
|
作者：
Bannister, Hugh [1 ]
Goldys, Benjamin [2 ]
Penev, Spiridon [3 ]
Wu, Wei [3 ]
机构：
[1] Optimo Financial, Suite 204,10-12 Clarke St, Crows Nest, NSW 2006, Australia
[2] Univ Sydney, Sch Math & Stat, Sydney, NSW 2006, Australia
[3] UNSW Sydney, UNSW Australia, Sch Math & Stat, Sydney, NSW 2052, Australia
来源：
AUTOMATICA | 2016年 / 73卷
基金：
澳大利亚研究理事会;
关键词：
Discrete time; Dynamic programming; Time consistency; Mean-standard-deviation; Non-self-financing; HOMOGENEOUS RISK MEASURES; TRANSLATION-INVARIANT; OPTIMIZATION; MINIMIZATION; ROOT;
D O I：
10.1016/j.automatica.2016.06.021
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
We study a multiperiod portfolio selection problem in which a single period mean-standard-deviation criterion is used to construct a separable multiperiod selection criterion. Using this criterion, we obtain a closed form optimal strategy which depends on selection schemes of investor's risk preference. As a consequence, we develop a multiperiod portfolio selection scheme. In doing so, we adapt a pseudo dynamic programming principle from other existing results. The analysis is performed in the market of risky assets only, however, we allow both market transitions and intermediate cash injections and offtakes. (C) 2016 Elsevier Ltd. All rights reserved.
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页码：15 / 26
页数：12
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