Continuous time mean variance asset allocation: A time-consistent strategy

Wang J.; Forsyth P.A.

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Continuous time mean variance asset allocation: A time-consistent strategy

机译：连续时间均值方差资产分配：时间一致的策略

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摘要

We develop a numerical scheme for determining the optimal asset allocation strategy for time-consistent, continuous time, mean variance optimization. Any type of constraint can be applied to the investment policy. The optimal policies for time-consistent and pre-commitment strategies are compared. When realistic constraints are applied, the efficient frontiers for the pre-commitment and time-consistent strategies are similar, but the optimal investment strategies are quite different.

机译：我们开发了一种数值方案，用于确定时间一致，连续时间，均值方差优化的最佳资产分配策略。任何类型的约束都可以应用于投资政策。比较了时间一致和预承诺策略的最佳策略。当应用现实约束时，预承诺和时间一致策略的有效边界是相似的，但是最优投资策略却是完全不同的。

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《European Journal of Operational Research》 |2011年第2期|共18页
作者
Wang J.; Forsyth P.A.;
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正文语种 eng
中图分类运筹学;
关键词
Constrained policies; Piecewise constant policy timestepping; Time-consistent mean variance asset allocation;

机译：约束策略;分段恒定策略时间步长;时间一致的均值方差资产分配;

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1. Continuous time mean variance asset allocation: A time-consistent strategy [J] . Wang J., Forsyth P.A. European Journal of Operational Research . 2011,第2期

机译：连续时间均值方差资产分配：时间一致的策略
2. Time-consistent Optimal Portfolio Strategy for Asset-liability Management under Mean-variance Criterion [J] . Chanjuan Li, Zhongfei Li, Ke Fu, Accounting and Finance Research . 2013,第2期

机译：均值-方差准则下资产负债管理的时间一致最优投资组合策略
3. Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous-time mean-variance asset allocation under stochastic volatility [J] . Ma K., Forsyth P. A. The journal of computational finance . 2016,第1期

机译：随机波动下连续时间均方差资产分配的Hamilton-Jacobi-Bellman公式的数值解
4. Mean-variance hedging strategies in discrete time and continuous state space [C] . O. L. V. Costa, A. C. Maiali, A. de C. Pinto International Conference on Computational Finance and Its Applications . 2006

机译：在离散时间和连续状态空间中的平均方差对冲策略
5. Dynamic asset allocation modeling for international investment: A comparison of information-based active strategies versus passive strategies for the EAFE and S&P 500 portfolios. [D] . Hung, Loretta T. S. 2002

机译：国际投资的动态资产分配建模：EAFE和S＆P 500投资组合基于信息的主动策略与被动策略的比较。
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Continuous time mean variance asset allocation: A time-consistent strategy

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