Time‐Consistent Strategies for a Multiperiod Mean‐Variance Portfolio Selection Problem

Huiling Wu

Journal of Applied Mathematics, 2013, vol. 2013, issue 1

Abstract: It remained prevalent in the past years to obtain the precommitment strategies for Markowitz′s mean‐variance portfolio optimization problems, but not much is known about their time‐consistent strategies. This paper takes a step to investigate the time‐consistent Nash equilibrium strategies for a multiperiod mean‐variance portfolio selection problem. Under the assumption that the risk aversion is, respectively, a constant and a function of current wealth level, we obtain the explicit expressions for the time‐consistent Nash equilibrium strategy and the equilibrium value function. Many interesting properties of the time‐consistent results are identified through numerical sensitivity analysis and by comparing them with the classical pre‐commitment solutions.

Date: 2013
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https://doi.org/10.1155/2013/841627

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jnljam:v:2013:y:2013:i:1:n:841627

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