Dynamic revised mean-variance policy in a market without riskless asset

Yiqing Gao; Xiangyu Cui; Yun Shi; Liumeng Peng

doi:10.1109/CCDC.2016.7531148

Dynamic revised mean-variance policy in a market without riskless asset

Yiqing Gao
, Xiangyu Cui
, Yun Shi
, Liumeng Peng^*

^*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

Abstract

Due to the nonseparable variance term, the dynamic mean-variance portfolio selection in market without riskless asset is not time consistent or time consistent in efficiency. Similar to the market with riskless asset, the investor can perform as good as the truncated global optimal mean-variance policy with revised lower funding level. Thus, we propose a dynamic revised mean-variance policy, which is better than the global optimal policy.

Original language	English
Title of host publication	Proceedings of the 28th Chinese Control and Decision Conference, CCDC 2016
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	1103-1107
Number of pages	5
ISBN (Electronic)	9781467397148
DOIs	https://doi.org/10.1109/CCDC.2016.7531148
State	Published - 3 Aug 2016
Externally published	Yes
Event	28th Chinese Control and Decision Conference, CCDC 2016 - Yinchuan, China Duration: 28 May 2016 → 30 May 2016

Publication series

Name	Proceedings of the 28th Chinese Control and Decision Conference, CCDC 2016

Conference

Conference	28th Chinese Control and Decision Conference, CCDC 2016
Country/Territory	China
City	Yinchuan
Period	28/05/16 → 30/05/16

Keywords

multi-period mean-variance model
revised policy
time inconsistent in efficiency

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10.1109/CCDC.2016.7531148

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Gao, Y., Cui, X., Shi, Y., & Peng, L. (2016). Dynamic revised mean-variance policy in a market without riskless asset. In Proceedings of the 28th Chinese Control and Decision Conference, CCDC 2016 (pp. 1103-1107). Article 7531148 (Proceedings of the 28th Chinese Control and Decision Conference, CCDC 2016). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/CCDC.2016.7531148

@inproceedings{77222d54c7f14be58909717ed8bac25b,

title = "Dynamic revised mean-variance policy in a market without riskless asset",

abstract = "Due to the nonseparable variance term, the dynamic mean-variance portfolio selection in market without riskless asset is not time consistent or time consistent in efficiency. Similar to the market with riskless asset, the investor can perform as good as the truncated global optimal mean-variance policy with revised lower funding level. Thus, we propose a dynamic revised mean-variance policy, which is better than the global optimal policy.",

keywords = "multi-period mean-variance model, revised policy, time inconsistent in efficiency",

author = "Yiqing Gao and Xiangyu Cui and Yun Shi and Liumeng Peng",

note = "Publisher Copyright: {\textcopyright} 2016 IEEE.; 28th Chinese Control and Decision Conference, CCDC 2016 ; Conference date: 28-05-2016 Through 30-05-2016",

year = "2016",

month = aug,

day = "3",

doi = "10.1109/CCDC.2016.7531148",

language = "英语",

series = "Proceedings of the 28th Chinese Control and Decision Conference, CCDC 2016",

publisher = "Institute of Electrical and Electronics Engineers Inc.",

pages = "1103--1107",

booktitle = "Proceedings of the 28th Chinese Control and Decision Conference, CCDC 2016",

address = "美国",

}

Gao, Y, Cui, X, Shi, Y & Peng, L 2016, Dynamic revised mean-variance policy in a market without riskless asset. in Proceedings of the 28th Chinese Control and Decision Conference, CCDC 2016., 7531148, Proceedings of the 28th Chinese Control and Decision Conference, CCDC 2016, Institute of Electrical and Electronics Engineers Inc., pp. 1103-1107, 28th Chinese Control and Decision Conference, CCDC 2016, Yinchuan, China, 28/05/16. https://doi.org/10.1109/CCDC.2016.7531148

Dynamic revised mean-variance policy in a market without riskless asset. / Gao, Yiqing; Cui, Xiangyu; Shi, Yun et al.
Proceedings of the 28th Chinese Control and Decision Conference, CCDC 2016. Institute of Electrical and Electronics Engineers Inc., 2016. p. 1103-1107 7531148 (Proceedings of the 28th Chinese Control and Decision Conference, CCDC 2016).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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AU - Gao, Yiqing

AU - Cui, Xiangyu

AU - Shi, Yun

AU - Peng, Liumeng

PY - 2016/8/3

Y1 - 2016/8/3

N2 - Due to the nonseparable variance term, the dynamic mean-variance portfolio selection in market without riskless asset is not time consistent or time consistent in efficiency. Similar to the market with riskless asset, the investor can perform as good as the truncated global optimal mean-variance policy with revised lower funding level. Thus, we propose a dynamic revised mean-variance policy, which is better than the global optimal policy.

AB - Due to the nonseparable variance term, the dynamic mean-variance portfolio selection in market without riskless asset is not time consistent or time consistent in efficiency. Similar to the market with riskless asset, the investor can perform as good as the truncated global optimal mean-variance policy with revised lower funding level. Thus, we propose a dynamic revised mean-variance policy, which is better than the global optimal policy.

KW - multi-period mean-variance model

KW - revised policy

KW - time inconsistent in efficiency

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M3 - 会议稿件

AN - SCOPUS:84983748740

T3 - Proceedings of the 28th Chinese Control and Decision Conference, CCDC 2016

SP - 1103

EP - 1107

BT - Proceedings of the 28th Chinese Control and Decision Conference, CCDC 2016

PB - Institute of Electrical and Electronics Engineers Inc.

T2 - 28th Chinese Control and Decision Conference, CCDC 2016

Y2 - 28 May 2016 through 30 May 2016

ER -

Gao Y, Cui X, Shi Y, Peng L. Dynamic revised mean-variance policy in a market without riskless asset. In Proceedings of the 28th Chinese Control and Decision Conference, CCDC 2016. Institute of Electrical and Electronics Engineers Inc. 2016. p. 1103-1107. 7531148. (Proceedings of the 28th Chinese Control and Decision Conference, CCDC 2016). doi: 10.1109/CCDC.2016.7531148

Dynamic revised mean-variance policy in a market without riskless asset

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