Time consistent behavioral portfolio policy for dynamic mean–variance formulation View Full Text


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Article Info

DATE

2017-12

AUTHORS

Xiangyu Cui, Xun Li, Duan Li, Yun Shi

ABSTRACT

When one considers an optimal portfolio policy under a mean-risk formulation, it is essential to correctly model investors’ risk aversion which may be time variant or even state dependent. In this paper, we propose a behavioral risk aversion model, in which risk aversion is a piecewise linear function of the current excess wealth level with a reference point at the discounted investment target (either surplus or shortage), to reflect a behavioral pattern with both house money and break-even effects. Due to the time inconsistency of the resulting multi-period mean–variance model with adaptive risk aversion, we investigate the time consistent behavioral portfolio policy by solving a nested mean–variance game formulation. We derive a semi-analytical time consistent behavioral portfolio policy which takes a piecewise linear feedback form of the current excess wealth level with respect to the discounted investment target. Finally, we extend the above results to time consistent behavioral portfolio selection for dynamic mean–variance formulation with a cone constraint. More... »

PAGES

1647-1660

References to SciGraph publications

  • 2006-02. Time Consistent Dynamic Risk Measures in MATHEMATICAL METHODS OF OPERATIONS RESEARCH
  • 1999-10. DC Programming: Overview in JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS
  • 2007-07. Coherent multiperiod risk adjusted values and Bellman’s principle in ANNALS OF OPERATIONS RESEARCH
  • Identifiers

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    http://scigraph.springernature.com/pub.10.1057/s41274-017-0179-6

    DOI

    http://dx.doi.org/10.1057/s41274-017-0179-6

    DIMENSIONS

    https://app.dimensions.ai/details/publication/pub.1084149769


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