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首页> 外文期刊>Journal of Economic Dynamics and Control >Time-consistent investment policies in Markovian markets: A case of mean-variance analysis
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Time-consistent investment policies in Markovian markets: A case of mean-variance analysis

机译：马氏市场中时间一致的投资政策：均值-方差分析的案例

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摘要

The optimal investment policy for a standard multi-period mean-variance model is not time-consistent because the variance operator is not separable in the sense of the dynamic programming principle. With a nested conditional expectation mapping, we develop an investment model with time consistency in Markovian markets. Furthermore, we examine the differences of the investment policies with a riskless asset from those without a riskless asset. Analytical solutions for time-consistent optimal investment policies and the resulting mean-variance efficient frontier are obtained. Finally, using numerical examples, we show that the optimal investment policy derived from our model is more efficient than that of the standard mean-variance model in which the trade-off is determined between the mean and variance of the terminal wealth.
机译：标准的多周期均值-方差模型的最优投资策略不是时间一致的，因为在动态规划原理的意义上，方差算子是不可分离的。通过嵌套的条件期望映射，我们开发了在马尔可夫市场具有时间一致性的投资模型。此外，我们研究了无风险资产与无风险资产的投资政策之间的差异。获得了时间一致的最优投资策略的解析解以及由此产生的均值方差有效边界。最后，通过数值例子，我们表明，从我们的模型得出的最优投资策略比标准均方差模型的效率更高，在标准均方差模型中，最终财富的均值和方差之间进行了折衷。

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