Time-consistent investment strategy under partial information

doi:10.1016/j.insmatheco.2015.08.011

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	Time-consistent investment strategy under partial information
	Li, Yongwu 1; Qiao, Han 2; Wang, Shouyang1 ; Zhang, Ling 3
刊名	INSURANCE MATHEMATICS & ECONOMICS
	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
出版者	ELSEVIER SCIENCE BV
WOS记录号	WOS:000367109800019
内容类型	期刊论文
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.