Open-loop equilibrium strategy for mean–variance portfolio problem under stochastic volatility

Tingjin Yan; Hoi Ying Wong

doi:10.1016/j.automatica.2019.05.044

Open-loop equilibrium strategy for mean–variance portfolio problem under stochastic volatility

Tingjin Yan
, Hoi Ying Wong^*

^*此作品的通讯作者

Chinese University of Hong Kong

科研成果: 期刊稿件 › 文章 › 同行评审

28 引用（Scopus）

摘要

We formulate the open-loop control framework for time-consistent mean–variance (TCMV) portfolio problems in incomplete markets with stochastic volatility (SV). We offer the existence and uniqueness results of the TCMV equilibrium controls for general SV models and derive explicit closed-form equilibrium controls for several popular models, including the Heston, Hull–White and 3/2 SV models. The uniqueness of the equilibrium controls are related to the mean-reverting speed of the volatility and the investment horizon.

源语言	英语
页（从-至）	211-223
页数	13
期刊	Automatica
卷	107
DOI	https://doi.org/10.1016/j.automatica.2019.05.044
出版状态	已出版 - 9月 2019
已对外发布	是

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title = "Open-loop equilibrium strategy for mean–variance portfolio problem under stochastic volatility",

abstract = "We formulate the open-loop control framework for time-consistent mean–variance (TCMV) portfolio problems in incomplete markets with stochastic volatility (SV). We offer the existence and uniqueness results of the TCMV equilibrium controls for general SV models and derive explicit closed-form equilibrium controls for several popular models, including the Heston, Hull–White and 3/2 SV models. The uniqueness of the equilibrium controls are related to the mean-reverting speed of the volatility and the investment horizon.",

keywords = "Mean–variance portfolio, Open-loop stochastic control, Stochastic volatility model, Time inconsistency",

author = "Tingjin Yan and Wong, \{Hoi Ying\}",

note = "Publisher Copyright: {\textcopyright} 2019 Elsevier Ltd",

year = "2019",

month = sep,

doi = "10.1016/j.automatica.2019.05.044",

language = "英语",

volume = "107",

pages = "211--223",

journal = "Automatica",

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AU - Yan, Tingjin

AU - Wong, Hoi Ying

PY - 2019/9

Y1 - 2019/9

N2 - We formulate the open-loop control framework for time-consistent mean–variance (TCMV) portfolio problems in incomplete markets with stochastic volatility (SV). We offer the existence and uniqueness results of the TCMV equilibrium controls for general SV models and derive explicit closed-form equilibrium controls for several popular models, including the Heston, Hull–White and 3/2 SV models. The uniqueness of the equilibrium controls are related to the mean-reverting speed of the volatility and the investment horizon.

AB - We formulate the open-loop control framework for time-consistent mean–variance (TCMV) portfolio problems in incomplete markets with stochastic volatility (SV). We offer the existence and uniqueness results of the TCMV equilibrium controls for general SV models and derive explicit closed-form equilibrium controls for several popular models, including the Heston, Hull–White and 3/2 SV models. The uniqueness of the equilibrium controls are related to the mean-reverting speed of the volatility and the investment horizon.

KW - Mean–variance portfolio

KW - Open-loop stochastic control

KW - Stochastic volatility model

KW - Time inconsistency

UR - https://www.scopus.com/pages/publications/85066759045

U2 - 10.1016/j.automatica.2019.05.044

DO - 10.1016/j.automatica.2019.05.044

M3 - 文章

AN - SCOPUS:85066759045

SN - 0005-1098

VL - 107

SP - 211

EP - 223

JO - Automatica

JF - Automatica

ER -

Open-loop equilibrium strategy for mean–variance portfolio problem under stochastic volatility

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