Time consistent in efficiency dynamic mean–variance policy

Yun Shi, Duan Li and Xiangyu Cui

Journal of the Operational Research Society, 2023, vol. 74, issue 1, 195-208

Abstract: The dynamic mean–variance formulation for a market with all risky assets is not time consistent in efficiency (TCIE), in the sense that the pre-committed policy, which is optimal for the entire investment horizon, could become mean–variance inefficient when facing a truncated time-horizon problem at an intermediate time instant. By removing the self-financing restriction and fully avoiding the irrational investment behaviours in intermediate time periods, we develop the TCIE dynamic mean–variance policy, which is TCIE. Comparing to the polices in the literature, such as the strictly dominating policy, the pre-committed policy and the time consistent policy, the TCIE policy can achieve better global investment performance.

Date: 2023
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/01605682.2022.2032428 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:tjorxx:v:74:y:2023:i:1:p:195-208

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/tjor20

DOI: 10.1080/01605682.2022.2032428

Access Statistics for this article

Journal of the Operational Research Society is currently edited by Tom Archibald

More articles in Journal of the Operational Research Society from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().