Bellman type strategy for the continuous time mean-variance model

Shuzhen Yang

Papers from arXiv.org

Abstract: To investigate a time-consistent optimal strategy for the continuous time mean-variance model, we develop a new method to establish the Bellman principle. Based on this new method, we obtain a time-consistent dynamic optimal strategy that differs from the pre-committed and game-theoretic strategies. A comparison with the existing results on the continuous time mean-variance model shows that our method has several advantages. The explicit solutions of the dynamic optimal strategy and optimal wealth are given. When the dynamic optimal strategy is given at the initial time, we do not change it in the following investment time interval.

Date: 2020-05, Revised 2020-07
New Economics Papers: this item is included in nep-gen
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://arxiv.org/pdf/2005.01904 Latest version (application/pdf)

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:arx:papers:2005.01904

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().