文献详情
Equilibrium and Precommitment Mean-Variance Portfolio Selection Problem with Partially Observed Price Index and Multiple Assets
文献类型：期刊
通讯作者：Guan, GH (reprint author), Renmin Univ China, Ctr Appl Stat, Beijing 100872, Peoples R China.; Guan, GH (reprint author), Renmin Univ China, Sch Stat, Beijing 100872, Peoples R China.
期刊名称：METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY影响因子和分区
年：2020
卷：22
期：1
页码：25-47
ISSN：1387-5841
关键词：Inflation risk; Investment; Partially observation; Time-consistent; Precommitment; Mean-variance
所属部门：统计学院
摘要：In this paper, we aim to investigate the mean-variance portfolio selection in an economy with inflation risk. In the financial market, the inflation index can only be partially observed by a signal process. We transform the initial problem into an equivalent completely observed problem. The effect of the partially observed price index on the optimization problem is twofold. Firstly, the equivalent completely observed problem involves more estimation error. Secondly, the mean-variance criterion i ...More
In this paper, we aim to investigate the mean-variance portfolio selection in an economy with inflation risk. In the financial market, the inflation index can only be partially observed by a signal process. We transform the initial problem into an equivalent completely observed problem. The effect of the partially observed price index on the optimization problem is twofold. Firstly, the equivalent completely observed problem involves more estimation error. Secondly, the mean-variance criterion is distorted. Higher moment is assigned with a bigger weight. The optimization goal does not satisfy the assumption in the Bellman's optimality condition and we derive the equilibrium strategy based on the extended HJB equation. Besides, we also show the results of the efficient frontier and strategy in the precommitment case. In the end of this paper, we present a sensitivity analysis to show the economic behaviors of the investor and compare the efficient strategies and frontiers in precommitment case and equilibrium case. ...Hide

DOI：10.1007/s11009-019-09691-y
百度学术：Equilibrium and Precommitment Mean-Variance Portfolio Selection Problem with Partially Observed Price Index and Multiple Assets
语言：外文
基金：Renmin University of China; Fundamental Research Funds for the Central UniversitiesFundamental Research Funds for the Central Universities; China Postdoctoral Science FoundationChina Postdoctoral Science Foundation [2018M640212]; Research Funds of Renmin University of China
作者其他论文



Robust optimal reinsurance and investment strategies for an AAI with multiple risks.Guan, Guohui, Liang, Zongxia,.INSURANCE MATHEMATICS & ECONOMICS. 2019, 89, 63-78.
Time-consistent proportional reinsurance and investment strategies under ambiguous environment.Guan, Guohui, Liang, Zongxia, Feng, Jian,.INSURANCE MATHEMATICS & ECONOMICS. 2018, 83, 122-133.
Equilibrium and Precommitment Mean-Variance Portfolio Selection Problem with Partially Observed Price Index and Multiple Assets.Guan, Guohui,.METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY. 2020, 22(1), 25-47.
Robust optimal reinsurance and investment strategies for an AAI with multiple risks.Guan, Guohui, Liang, Zongxia,.INSURANCE MATHEMATICS & ECONOMICS. 2019, 89, 63-78.
Time-consistent proportional reinsurance and investment strategies under ambiguous environment.Guan, Guohui, Liang, Zongxia, Feng, Jian,.INSURANCE MATHEMATICS & ECONOMICS. 2018, 83, 122-133.