This paper solves for the robust time-consistent mean-variance portfolio selection problem on multiple risky assets under a principle component stochastic volatility model. The model uncertainty is introduced to the drifts of the risky assets prices and the stochastic eigenvalues of the covariance matrix of asset returns. Using an extended dynamic programming approach, we manage to derive a semi-closed form solution of the desired portfolio via the solution to a coupled matrix Riccati equation. We provide the conditions, under which we prove the existence and the boundedness of the solution to the coupled matrix Riccati equation and derive the value function of the control problem. Moreover, we conduct numerical and empirical studies to perform sensitivity analyses and examine the losses due to ignoring model uncertainty or volatility information.
机构:
Tech Univ Munich, Chair Math Finance, Pk Ring 11, D-85748 Garching, GermanyTech Univ Munich, Chair Math Finance, Pk Ring 11, D-85748 Garching, Germany
Bergen, V
Escobar, M.
论文数: 0引用数: 0
h-index: 0
机构:
Western Univ, Dept Stat & Actuarial Sci, 1151 Richmond St, London, ON, CanadaTech Univ Munich, Chair Math Finance, Pk Ring 11, D-85748 Garching, Germany
Escobar, M.
Rubtsov, A.
论文数: 0引用数: 0
h-index: 0
机构:
Global Risk Inst Financial Serv, 55 Univ Ave,Suite 1801, Toronto, ON, CanadaTech Univ Munich, Chair Math Finance, Pk Ring 11, D-85748 Garching, Germany
Rubtsov, A.
Zagst, R.
论文数: 0引用数: 0
h-index: 0
机构:
Tech Univ Munich, Chair Math Finance, Pk Ring 11, D-85748 Garching, GermanyTech Univ Munich, Chair Math Finance, Pk Ring 11, D-85748 Garching, Germany
机构:
Educ Univ Hong Kong, Dept Math & Informat Technol, Tai Po, Hong Kong, Peoples R ChinaEduc Univ Hong Kong, Dept Math & Informat Technol, Tai Po, Hong Kong, Peoples R China
Chiu, Mei Choi
Wong, Hoi Ying
论文数: 0引用数: 0
h-index: 0
机构:
Chinese Univ Hong Kong, Dept Stat, Shatin, Hong Kong, Peoples R ChinaEduc Univ Hong Kong, Dept Math & Informat Technol, Tai Po, Hong Kong, Peoples R China
机构:
Hong Kong Inst Educ, Dept Math & Informat Technol, Tai Po, Hong Kong, Peoples R ChinaHong Kong Inst Educ, Dept Math & Informat Technol, Tai Po, Hong Kong, Peoples R China
Chiu, Mei Choi
Wong, Hoi Ying
论文数: 0引用数: 0
h-index: 0
机构:
Chinese Univ Hong Kong, Dept Stat, Shatin, Hong Kong, Peoples R ChinaHong Kong Inst Educ, Dept Math & Informat Technol, Tai Po, Hong Kong, Peoples R China
机构:
Tech Univ Munich, Chair Math Finance, Pk Ring 11, D-85748 Garching, GermanyTech Univ Munich, Chair Math Finance, Pk Ring 11, D-85748 Garching, Germany
Bergen, V
Escobar, M.
论文数: 0引用数: 0
h-index: 0
机构:
Western Univ, Dept Stat & Actuarial Sci, 1151 Richmond St, London, ON, CanadaTech Univ Munich, Chair Math Finance, Pk Ring 11, D-85748 Garching, Germany
Escobar, M.
Rubtsov, A.
论文数: 0引用数: 0
h-index: 0
机构:
Global Risk Inst Financial Serv, 55 Univ Ave,Suite 1801, Toronto, ON, CanadaTech Univ Munich, Chair Math Finance, Pk Ring 11, D-85748 Garching, Germany
Rubtsov, A.
Zagst, R.
论文数: 0引用数: 0
h-index: 0
机构:
Tech Univ Munich, Chair Math Finance, Pk Ring 11, D-85748 Garching, GermanyTech Univ Munich, Chair Math Finance, Pk Ring 11, D-85748 Garching, Germany
机构:
Educ Univ Hong Kong, Dept Math & Informat Technol, Tai Po, Hong Kong, Peoples R ChinaEduc Univ Hong Kong, Dept Math & Informat Technol, Tai Po, Hong Kong, Peoples R China
Chiu, Mei Choi
Wong, Hoi Ying
论文数: 0引用数: 0
h-index: 0
机构:
Chinese Univ Hong Kong, Dept Stat, Shatin, Hong Kong, Peoples R ChinaEduc Univ Hong Kong, Dept Math & Informat Technol, Tai Po, Hong Kong, Peoples R China
机构:
Hong Kong Inst Educ, Dept Math & Informat Technol, Tai Po, Hong Kong, Peoples R ChinaHong Kong Inst Educ, Dept Math & Informat Technol, Tai Po, Hong Kong, Peoples R China
Chiu, Mei Choi
Wong, Hoi Ying
论文数: 0引用数: 0
h-index: 0
机构:
Chinese Univ Hong Kong, Dept Stat, Shatin, Hong Kong, Peoples R ChinaHong Kong Inst Educ, Dept Math & Informat Technol, Tai Po, Hong Kong, Peoples R China