MEAN-VARIANCE PORTFOLIO SELECTION WITH RANDOM INVESTMENT HORIZON

被引：2

作者：

Liu, Jingzhen ^{[1
]}

Yiu, Ka-Fai Cedric ^{[2
]}

Li, Xun ^{[2
]}

Siu, Tak Kuen ^{[3
]}

Teo, Kok Lay ^{[4
]}

机构：

[1] Cent Univ Finance & Econ, China Inst Actuarial Sci, Beijing 100081, Peoples R China

[2] Hong Kong Polytechn Univ, Hunghom, Dept Appl Math, Hong Kong, Peoples R China

[3] Macquarie Univ, Macquarie Business Sch, Dept Actuarial Studies & Business Analyt, Sydney, NSW 2109, Australia

[4] Sunway Univ, Sch Math Sci, Danul Ehsan, Selangor, Malaysia

来源：

JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION | 2023年 / 19卷 / 07期

基金：

中国国家自然科学基金;

关键词：

Mean variance; random time horizon; HJB equations; efficient frontier;

D O I：

10.3934/jimo.2022147

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

This paper studies a continuous-time securities market where an agent, having a random investment horizon and a targeted terminal mean return, seeks to minimize the variance of a portfolio's return. Two situations are discussed, namely a deterministic time-varying density process and a stochastic density process. In contrast to [18], the variance of an investment portfolio is no longer minimal when all assets are invested in a risk-free security. Furthermore, the random investment horizon has a material effect on the efficient frontier. This provides some insights into the classical mutual fund theorem.

引用

页码：4726 / 4739

页数：14

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