Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion

被引：0
|
作者：
Xiangyu Cui
Lu Xu
Yan Zeng
机构：
[1] Shanghai University of Finance and Economics,School of Statistics and Management, Shanghai Key Laboratory of Financial Information Technology
[2] Shanghai University of Finance and Economics,School of Statistics and Management
[3] Sun Yat-sen University,Lingnan (University) College
来源：
Optimization Letters | 2016年 / 10卷
关键词：
Piecewise linear risk aversion; Continuous time mean-variance model; Time consistent policy;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this paper, a continuous time mean-variance portfolio optimization problem is considered within a game theoretic framework, where the risk aversion function is assumed to depend on the current wealth level and the discounted (preset) investment target. We derive the explicit time consistent investment policy, and find that if the current wealth level is less (larger) than the discounted investment target, the future wealth level along the time consistent investment policy is always less (larger) than the discounted investment target.
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页码：1681 / 1691
页数：10
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