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

被引：16

作者：

Cui, Xiangyu ^{[1
]}

Xu, Lu ^{[2
]}

Zeng, Yan ^{[3
]}

机构：

[1] Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai Key Lab Financial Informat Technol, Shanghai, Peoples R China

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

[3] Sun Yat Sen Univ, Lingnan Univ Coll, Guangzhou, Guangdong, Peoples R China

来源：

OPTIMIZATION LETTERS | 2016年 / 10卷 / 08期

基金：

中国国家自然科学基金;

关键词：

Piecewise linear risk aversion; Continuous time mean-variance model; Time consistent policy; SELECTION;

D O I：

10.1007/s11590-015-0970-8

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

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.

引用

页码：1681 / 1691

页数：11