دانلود مقاله ISI انگلیسی شماره 42112
عنوان فارسی مقاله

سیاست سرمایه گذاری مطلوب در فرموالسیون واریانس سازگار با زمان

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
42112 2013 12 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Optimal investment policy in the time consistent mean–variance formulation ☆
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Insurance: Mathematics and Economics, Volume 52, Issue 2, March 2013, Pages 145–156

کلمات کلیدی
سازگاری زمان - میانگین واریانس - سیاست سرمایه گذاری بهینه - اصل بهینگی بلمن - روش ضرایب لاگرانژ
پیش نمایش مقاله
پیش نمایش مقاله سیاست سرمایه گذاری مطلوب در فرموالسیون واریانس سازگار با زمان

چکیده انگلیسی

As a necessary requirement for multi-period risk measure, time consistency can be examined from two aspects: dynamic risk measure and optimal investment policy. In this paper, we first study the relationship between the time consistency of dynamic risk measure and the time consistency of optimal investment policy and obtain the following conclusions: if the dynamic risk mapping is time consistent and monotone, then the corresponding optimal investment policy satisfies the time consistency requirements; however, if the dynamic risk mapping is time consistent but not monotone, then the time consistency requirements of an optimal investment policy will no longer be satisfied. Since the variance operator does not satisfy the smoothing property, the optimal investment policy derived from the existing multi-period mean–variance model is not time consistent. To overcome this shortcoming, we propose the notation of a separable expected conditional mapping and then construct a time consistent dynamic mean–variance model. We prove that the optimal investment policy derived from our model is time consistent. Moreover, for two cases with or without a riskless asset, we obtain the time consistent analytical optimal investment policy and the mean–variance efficient frontier of the new model with the self-financing constraint. Finally, numerical results illustrate the flexibility and superiority of our multi-period mean–variance model and the optimal investment policy over those in the literature.

خرید مقاله
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