Time-consistent investment strategy under partial information
文献类型：期刊论文
| 作者 | Li, Yongwu1; Qiao, Han2; Wang, Shouyang1 ; Zhang, Ling3
|
| 刊名 | INSURANCE MATHEMATICS & ECONOMICS
 |
| 出版日期 | 2015-11-01 |
| 卷号 | 65页码:187-197 |
| 关键词 | Time inconsistency Mean-variance Partial information Equilibrium strategy Extended HJB system of equations |
| ISSN号 | 0167-6687 |
| DOI | 10.1016/j.insmatheco.2015.08.011 |
| 英文摘要 | 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. |
| 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 |
| 语种 | 英语 |
| WOS记录号 | WOS:000367109800019 |
| 出版者 | ELSEVIER SCIENCE BV |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/21635]  |
| 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. |
入库方式： OAI收割
来源：数学与系统科学研究院
浏览0
下载0
收藏0
其他版本
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。