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Time-Consistent Strategies for a Multiperiod Mean-Variance Portfolio Selection Problem
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Journal Article
Time-Consistent Strategies for a Multiperiod Mean-Variance Portfolio Selection Problem
2013
Overview
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.
Publisher
Hindawi Limiteds,Hindawi Puplishing Corporation,Hindawi Publishing Corporation,John Wiley & Sons, Inc,Wiley
Subject
