Time-Consistent Strategies for a Multiperiod Mean-Variance Portfolio Selection Problem
It remained prevalent in the past years to obtain the precommitment strategies for Markowitz's mean-variance portfolio optimization problems, but not much is known about their time-consistent strategies. This paper takes a step to investigate the time-consistent Nash equilibrium strategies for...
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| Format: | Article |
| Language: | English |
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Wiley
2013-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2013/841627 |
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| _version_ | 1850110468857790464 |
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| author | Huiling Wu |
| author_facet | Huiling Wu |
| author_sort | Huiling Wu |
| collection | DOAJ |
| description | It remained prevalent in the past years to obtain the precommitment strategies for Markowitz's mean-variance portfolio optimization problems, but not much is known about their time-consistent strategies. This paper takes a step to investigate the time-consistent Nash equilibrium strategies for a multiperiod mean-variance portfolio selection problem. Under the assumption that the risk aversion is, respectively, a constant and a function of current wealth level, we obtain the explicit expressions for the time-consistent Nash equilibrium strategy and the equilibrium value function. Many interesting properties of the time-consistent results are identified through numerical sensitivity analysis and by comparing them with the classical pre-commitment solutions. |
| format | Article |
| id | doaj-art-46b710b3ff5f4b7f830b56d47c8f8439 |
| institution | OA Journals |
| issn | 1110-757X 1687-0042 |
| language | English |
| publishDate | 2013-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Applied Mathematics |
| spelling | doaj-art-46b710b3ff5f4b7f830b56d47c8f84392025-08-20T02:37:49ZengWileyJournal of Applied Mathematics1110-757X1687-00422013-01-01201310.1155/2013/841627841627Time-Consistent Strategies for a Multiperiod Mean-Variance Portfolio Selection ProblemHuiling Wu0China Institute for Actuarial Science, Central University of Finance and Economics, Beijing 100081, ChinaIt remained prevalent in the past years to obtain the precommitment strategies for Markowitz's mean-variance portfolio optimization problems, but not much is known about their time-consistent strategies. This paper takes a step to investigate the time-consistent Nash equilibrium strategies for a multiperiod mean-variance portfolio selection problem. Under the assumption that the risk aversion is, respectively, a constant and a function of current wealth level, we obtain the explicit expressions for the time-consistent Nash equilibrium strategy and the equilibrium value function. Many interesting properties of the time-consistent results are identified through numerical sensitivity analysis and by comparing them with the classical pre-commitment solutions.http://dx.doi.org/10.1155/2013/841627 |
| spellingShingle | Huiling Wu Time-Consistent Strategies for a Multiperiod Mean-Variance Portfolio Selection Problem Journal of Applied Mathematics |
| title | Time-Consistent Strategies for a Multiperiod Mean-Variance Portfolio Selection Problem |
| title_full | Time-Consistent Strategies for a Multiperiod Mean-Variance Portfolio Selection Problem |
| title_fullStr | Time-Consistent Strategies for a Multiperiod Mean-Variance Portfolio Selection Problem |
| title_full_unstemmed | Time-Consistent Strategies for a Multiperiod Mean-Variance Portfolio Selection Problem |
| title_short | Time-Consistent Strategies for a Multiperiod Mean-Variance Portfolio Selection Problem |
| title_sort | time consistent strategies for a multiperiod mean variance portfolio selection problem |
| url | http://dx.doi.org/10.1155/2013/841627 |
| work_keys_str_mv | AT huilingwu timeconsistentstrategiesforamultiperiodmeanvarianceportfolioselectionproblem |