Multi-period mean variance portfolio selection under incomplete information

doi:10.1002/asmb.2191

CSpace

	Multi-period mean variance portfolio selection under incomplete information
	Zhang, Ling 1; Li, Zhongfei 2; Xu, Yunhui 3; Li, Yongwu 4
	2016-11-01
发表期刊	APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY
ISSN	1524-1904
卷号	32 期号:6 页码:753-774
摘要	This paper solves an optimal portfolio selection problem in the discrete-time setting where the states of the financial market cannot be completely observed, which breaks the common assumption that the states of the financial market are fully observable. The dynamics of the unobservable market state is formulated by a hidden Markov chain, and the return of the risky asset is modulated by the unobservable market state. Based on the observed information up to the decision moment, an investor wants to find the optimal multi-period investment strategy to maximize the mean-variance utility of the terminal wealth. By adopting a sufficient statistic, the portfolio optimization problem with incompletely observable information is converted into the one with completely observable information. The optimal investment strategy is derived by using the dynamic programming approach and the embedding technique, and the efficient frontier is also presented. Compared with the case when the market state can be completely observed, we find that the unobservable market state does decrease the investment value on the risky asset in average. Finally, numerical results illustrate the impact of the unobservable market state on the efficient frontier, the optimal investment strategy and the Sharpe ratio. Copyright (C) 2016 John Wiley & Sons, Ltd.
关键词	hidden Markov chain regime switching sufficient statistics portfolio optimization
DOI	10.1002/asmb.2191
语种	英语
资助项目	National Natural Science Foundation of China[71231008] ; National Natural Science Foundation of China[71601055] ; National Natural Science Foundation of China[71501176] ; MoE project of Humanities and Social Science[13YJCZH247] ; Philosophy and Social Science Programming Foundation of Guangdong Province[GD12XYJ06] ; Philosophy and Social Science Development Foundation of Guangzhou[15G40] ; China Post-doctoral Science Foundation[2015M580141]
WOS研究方向	Operations Research & Management Science ; Mathematics
WOS类目	Operations Research & Management Science ; Mathematics, Interdisciplinary Applications ; Statistics & Probability
WOS记录号	WOS:000389840800002
出版者	WILEY-BLACKWELL
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/24257
专题	中国科学院数学与系统科学研究院
通讯作者	Li, Zhongfei
作者单位	1.Guangdong Univ Finance, Ctr Financial Engn & Risk Management, Guangzhou 510521, Guangdong, Peoples R China 2.Sun Yat Sen Univ, Sun Yat Sen Business Sch, Guangzhou 510275, Guangdong, Peoples R China 3.Shandong Univ, Sch Econ, Jinan 250100, Peoples R China 4.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Zhang, Ling,Li, Zhongfei,Xu, Yunhui,et al. Multi-period mean variance portfolio selection under incomplete information[J]. APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY,2016,32(6):753-774.
APA	Zhang, Ling,Li, Zhongfei,Xu, Yunhui,&Li, Yongwu.(2016).Multi-period mean variance portfolio selection under incomplete information.APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY,32(6),753-774.
MLA	Zhang, Ling,et al."Multi-period mean variance portfolio selection under incomplete information".APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY 32.6(2016):753-774.