Time-consistent strategies for a multiperiod mean-variance portfolio selection problem
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Publication:2375686
Summary: 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.
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Cited in
(36)- Time consistent multi-period worst-case risk measure in robust portfolio selection
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- On time consistency for mean-variance portfolio selection
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