TY - GEN
T1 - Dynamic revised mean-variance policy in a market without riskless asset
AU - Gao, Yiqing
AU - Cui, Xiangyu
AU - Shi, Yun
AU - Peng, Liumeng
N1 - Publisher Copyright:
© 2016 IEEE.
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
UR - https://www.scopus.com/pages/publications/84983748740
U2 - 10.1109/CCDC.2016.7531148
DO - 10.1109/CCDC.2016.7531148
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 -