Better than pre-committed optimal mean-variance policy in a jump diffusion market

doi:10.1007/s00186-017-0572-6

CORC > 上海财经大学 > 上海财经大学

	Better than pre-committed optimal mean-variance policy in a jump diffusion market
	Shi, Yun 1; Li, Xun 2; Cui, Xiangyu 3
刊名	MATHEMATICAL METHODS OF OPERATIONS RESEARCH
	2017-06
卷号	85 期号:3 页码:327-347
关键词	Mean field approach Pre-committed optimal mean-variance policy Jump diffusion market Time consistency in efficiency Semi-self-financing revised policy
ISSN号	1432-2994
DOI	10.1007/s00186-017-0572-6
英文摘要	Dynamic mean-variance investment model can not be solved by dynamic programming directly due to the nonseparable structure of variance minimization problem. Instead of adopting embedding scheme, Lagrangian duality approach or mean-variance hedging approach, we transfer the model into mean field mean-variance formulation and derive the explicit pre-committed optimal mean-variance policy in a jump diffusion market. Similar to multi-period setting, the pre-committed optimal mean-variance policy is not time consistent in efficiency. When the wealth level of the investor exceeds some pre-given level, following pre-committed optimal mean-variance policy leads to irrational investment behaviors. Thus, we propose a semi-self-financing revised policy, in which the investor is allowed to withdraw partial of his wealth out of the market. And show the revised policy has a better investment performance in the sense of achieving the same mean-variance pair as pre-committed policy and receiving a nonnegative free cash flow stream.
WOS研究方向	Operations Research & Management Science ; Mathematics
语种	英语
出版者	SPRINGER HEIDELBERG
WOS记录号	WOS:000407484400001
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/959]
专题	上海财经大学
通讯作者	Cui, Xiangyu
作者单位	1.Shanghai Univ, Sch Management, Shanghai, Peoples R China; 2.Hong Kong Polytech Univ, Dept Appl Math, Hong Kong, Hong Kong, Peoples R China; 3.Shanghai Univ Finance & Econ, Shanghai Key Lab Financial Informat Technol, Sch Stat & Management, Shanghai, Peoples R China
推荐引用方式 GB/T 7714	Shi, Yun,Li, Xun,Cui, Xiangyu. Better than pre-committed optimal mean-variance policy in a jump diffusion market[J]. MATHEMATICAL METHODS OF OPERATIONS RESEARCH,2017,85(3):327-347.
APA	Shi, Yun,Li, Xun,&Cui, Xiangyu.(2017).Better than pre-committed optimal mean-variance policy in a jump diffusion market.MATHEMATICAL METHODS OF OPERATIONS RESEARCH,85(3),327-347.
MLA	Shi, Yun,et al."Better than pre-committed optimal mean-variance policy in a jump diffusion market".MATHEMATICAL METHODS OF OPERATIONS RESEARCH 85.3(2017):327-347.