Uniqueness of equilibrium strategies in dynamic mean-variance problems with random coefficients
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Publication:2190010
DOI10.1016/J.JMAA.2020.124199zbMATH Open1443.91270arXiv1802.01078OpenAlexW3020913714MaRDI QIDQ2190010FDOQ2190010
Authors: Tianxiao Wang 
Publication date: 17 June 2020
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Abstract: This paper is concerned with the uniqueness issue of open-loop equilibrium investment strategies of dynamic mean-variance portfolio selection problems with random coefficients. A unified method is developed to treat both the problems with deterministic risk-free return rate, state-dependent risk aversion, and that with full random coefficients, constant risk aversion. To do so, some new necessity conditions for the existence of equilibrium investment strategies are established, which considerably extends the analogue in [9] with distinctive ideas. Some new interesting facts are revealed. For example, if risk-free return rate is random, it is shown that there exists a unique open-loop equilibrium investment strategy relying on initial wealth, even when risk aversion is merely a constant but not state-dependent.
Full work available at URL: https://arxiv.org/abs/1802.01078
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Cited In (7)
- Equilibrium investment with random risk aversion
- Conditional LQ time-inconsistent Markov-switching stochastic optimal control problem for diffusion with jumps
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- Time-inconsistent consumption-investment problems in incomplete markets under general discount functions
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