Time-consistent investment strategy under partial information

doi:10.1016/j.insmatheco.2015.08.011

CSpace > 系统科学研究所

	Time-consistent investment strategy under partial information
	Li, Yongwu 1; Qiao, Han 2; Wang, Shouyang1 ; Zhang, Ling 3
	2015-11-01
发表期刊	INSURANCE MATHEMATICS & ECONOMICS
ISSN	0167-6687
卷号	65 页码:187-197
摘要	This paper considers a mean-variance portfolio selection problem under partial information, that is, the investor can observe the risky asset price with random drift which is not directly observable in financial markets. Since the dynamic mean-variance portfolio selection problem is time inconsistent, to seek the time-consistent investment strategy, the optimization problem is formulated and tackled in a game theoretic framework. Closed-form expressions of the equilibrium investment strategy and the corresponding equilibrium value function under partial information are derived by solving an extended Hamilton-Jacobi-Bellman system of equations. In addition, the results are also given under complete information, which are need for the partial information case. Furthermore, some numerical examples are presented to illustrate the derived equilibrium investment strategies and numerical sensitivity analysis is provided. (C) 2015 Elsevier B.V. All rights reserved.
关键词	Time inconsistency Mean-variance Partial information Equilibrium strategy Extended HJB system of equations
DOI	10.1016/j.insmatheco.2015.08.011
语种	英语
资助项目	National Natural Science Foundation of China[71390330] ; National Natural Science Foundation of China[71390331] ; National Natural Science Foundation of China[71003057] ; National Natural Science Foundation of China[71501176] ; Humanity and Social Science Foundation of MoE of China[13YJCZH247] ; Philosophy and Social Science Programming Foundation of Guangdong Province[GD12XYJ06]
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
WOS类目	Economics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods ; Statistics & Probability
WOS记录号	WOS:000367109800019
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/21636
专题	系统科学研究所
通讯作者	Li, Yongwu
作者单位	1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 2.Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100190, Peoples R China 3.Guangdong Univ Finance, Dept Econ & Int Trade, Guangzhou 510521, Guangdong, Peoples R China
推荐引用方式 GB/T 7714	Li, Yongwu,Qiao, Han,Wang, Shouyang,et al. Time-consistent investment strategy under partial information[J]. INSURANCE MATHEMATICS & ECONOMICS,2015,65:187-197.
APA	Li, Yongwu,Qiao, Han,Wang, Shouyang,&Zhang, Ling.(2015).Time-consistent investment strategy under partial information.INSURANCE MATHEMATICS & ECONOMICS,65,187-197.
MLA	Li, Yongwu,et al."Time-consistent investment strategy under partial information".INSURANCE MATHEMATICS & ECONOMICS 65(2015):187-197.