scholarly journals Open-loop equilibrium strategy for mean-variance portfolio selection: A log-return model

2017 ◽  
Vol 13 (5) ◽  
pp. 0-0
Author(s):  
Jiannan Zhang ◽  
◽  
Ping Chen ◽  
Zhuo Jin ◽  
Shuanming Li
Keyword(s):  
Portfolio Selection ◽  
Open Loop ◽  
Equilibrium Strategy ◽  
Mean Variance Portfolio ◽  
Mean Variance

scholarly journals Time-Consistent Strategies for a Multiperiod Mean-Variance Portfolio Selection Problem

2013 ◽  
Vol 2013 ◽  
pp. 1-13 ◽  
Author(s):  
Huiling Wu
Keyword(s):  
Nash Equilibrium ◽  
Portfolio Selection ◽  
Optimization Problems ◽  
Selection Problem ◽  
Equilibrium Strategy ◽  
Nash Equilibrium Strategy ◽  
Portfolio Selection Problem ◽  
Nash Equilibrium Strategies ◽  
Mean Variance Portfolio ◽  
Mean Variance

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.

Mean-Variance Portfolio Selection with Dynamic Targets for Expected Terminal Wealth

2021 ◽  
Author(s):  
Xue Dong He ◽  
Zhaoli Jiang
Keyword(s):  
Portfolio Selection ◽  
Continuous Time ◽  
Weighted Average ◽  
Equilibrium Strategy ◽  
Aspiration Level ◽  
Return Rates ◽  
Terminal Wealth ◽  
Instantaneous Change ◽  
Mean Variance Portfolio ◽  
Mean Variance

In a market that consists of multiple stocks and one risk-free asset whose mean return rates and volatility are deterministic, we study a continuous-time mean-variance portfolio selection problem in which an agent is subject to a constraint that the expectation of the agent’s terminal wealth must exceed a target and minimize the variance of the agent’s terminal wealth. The agent can revise the expected terminal wealth target dynamically to adapt to the change of the agent’s current wealth, and we consider the following three targets: (i) the agent’s current wealth multiplied by a target expected gross return rate, (ii) the risk-free payoff of the agent’s current wealth plus a premium, and (iii) a weighted average of the risk-free payoff of the agent’s current wealth and a preset aspiration level. We derive the so-called equilibrium strategy in closed form for each of the three targets and find that the agent effectively minimizes the variance of the instantaneous change of the agent’s wealth subject to a certain constraint on the expectation of the instantaneous change of the agent’s wealth.

Continuous-time mean-variance portfolio selection with regime-switching financial market: Time-consistent solution

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Ishak Alia ◽  
Farid Chighoub
Keyword(s):  
Portfolio Selection ◽  
Regime Switching ◽  
Optimal Time ◽  
Uniqueness Results ◽  
State Dependent ◽  
Consistent Solution ◽  
Game Theoretic ◽  
Markov Modulated ◽  
Mean Variance Portfolio ◽  
Mean Variance

Abstract This paper studies optimal time-consistent strategies for the mean-variance portfolio selection problem. Especially, we assume that the price processes of risky stocks are described by regime-switching SDEs. We consider a Markov-modulated state-dependent risk aversion and we formulate the problem in the game theoretic framework. Then, by solving a flow of forward-backward stochastic differential equations, an explicit representation as well as uniqueness results of an equilibrium solution are obtained.

Sign in / Sign up

Export Citation Format

Share Document