Mean-Variance Portfolio Selection with Dynamic Targets for Expected Terminal Wealth

Published Online:https://doi.org/10.1287/moor.2021.1142

References

  • [1] Ameriks J, Zeldes SP (2004) How do household portfolio shares vary with age. Technical report, Columbia University, New York.Google Scholar
  • [2] Bajeux-Besnainou I, Portait R (1998) Dynamic asset allocation in a mean-variance framework. Management Sci. 44(11):S79–S95.Google Scholar
  • [3] Basak S, Chabakauri G (2010) Dynamic mean-variance asset allocation. Rev. Financial Stud. 23(8):2970–3016.CrossrefGoogle Scholar
  • [4] Bayraktar E, Zhang J, Zhou Z (2019) Time consistent stopping for the mean-standard deviation problem—The discrete time case. SIAM J. Financial Math. 10(3):667–697.CrossrefGoogle Scholar
  • [5] Bayraktar E, Zhang J, Zhou Z (2021) Equilibrium concepts for time‐inconsistent stopping problems in continuous time. Math. Finance 31(1):508–530.CrossrefGoogle Scholar
  • [6] Bensoussan A, Wong KC, Yam SCP (2019) A paradox in time-consistency in the mean–variance problem? Finance Stochastics 23(1):173–207.CrossrefGoogle Scholar
  • [7] Bensoussan A, Wong KC, Yam SCP, Yung S-P (2014) Time-consistent portfolio selection under short-selling prohibition: From discrete to continuous setting. SIAM J. Financial Math. 5(1):153–190.CrossrefGoogle Scholar
  • [8] Bielecki TR, Jin H, Pliska SR, Zhou XY (2005) Continuous-time mean-variance portfolio selection with bankruptcy prohibition. Math. Finance 15(2):213–244.CrossrefGoogle Scholar
  • [9] Björk T, Murgoci A (2010) A general theory of Markovian time inconsistent stochastic control problems. Preprint, submitted October 20, https://dx.doi.org/10.2139/ssrn.1694759.Google Scholar
  • [10] Björk T, Khapko M, Murgoci A (2017) On time-inconsistent stochastic control in continuous time. Finance Stochastics 21(2):331–360.CrossrefGoogle Scholar
  • [11] Björk T, Murgoci A, Zhou XY (2014) Mean-variance portfolio optimization with state dependent risk aversion. Math. Finance 24(1):1–24.CrossrefGoogle Scholar
  • [12] Černỳ A (2020) Semimartingale theory of monotone mean–variance portfolio allocation. Math. Finance 30(3):1168–1178.CrossrefGoogle Scholar
  • [13] Chen L (2020) Continuous-time and distributionally robust mean-variance models. Unpublished PhD thesis, Columbia University, New York.Google Scholar
  • [14] Cui X, Li D, Li X (2017) Mean-variance policy for discrete-time cone-constrained markets: Time consistency in efficiency and the minimum-variance signed supermartingale measure. Math. Finance 27(2):471–504.CrossrefGoogle Scholar
  • [15] Cui X, Xu L, Zeng Y (2016) Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion. Optim. Lett. 10(8):1681–1691.CrossrefGoogle Scholar
  • [16] Cui X, Li X, Li D, Shi Y (2017) Time consistent behavioral portfolio policy for dynamic mean–variance formulation. J. Oper. Res. Soc. 68(12):1647–1660.CrossrefGoogle Scholar
  • [17] Cui X, Li D, Wang S, Zhu S (2012) Better than dynamic mean-variance: Time inconsistency and free cash flow stream. Math. Finance 22(2):346–378.CrossrefGoogle Scholar
  • [18] Czichowsky C (2013) Time-consistent mean-variance portfolio selection in discrete and continuous time. Finance Stochastics 17(2):227–271.CrossrefGoogle Scholar
  • [19] Dai M, Jin H, Kou S, Xu Y (2021) A dynamic mean-variance analysis for log returns. Management Sci. 67(2):1093–1108.LinkGoogle Scholar
  • [20] Daniel JW (1973) Stability of the solution of definite quadratic programs. Math. Programming 5(1):41–53.CrossrefGoogle Scholar
  • [21] Ekeland I, Lazrak A (2006) Being serious about non-commitment: Subgame perfect equilibrium in continuous time. Preprint, submitted April 12, https://arxiv.org/abs/math/0604264.Google Scholar
  • [22] Ekeland I, Lazrak A (2008) Equilibrium policies when preferences are time inconsistent. Preprint, submitted August 27, https://arxiv.org/abs/0808.3790.Google Scholar
  • [23] Ekeland I, Lazrak A (2010) The golden rule when preferences are time inconsistent. Math. Financial Econom. 4(1):29–55.CrossrefGoogle Scholar
  • [24] Ekeland I, Pirvu T (2008) Investment and consumption without commitment. Math. Financial Econom. 2(1):57–86.CrossrefGoogle Scholar
  • [25] He XD, Jiang Z (2019) On the equilibrium strategies for time-inconsistent problems in continuous time. Preprint, submitted January 10, https://dx.doi.org/10.2139/ssrn.3308274.Google Scholar
  • [26] He XD, Jiang Z (2020) Dynamic mean-variance efficient fractional Kelly portfolios in a stochastic volatility model. Preprint, submitted August 20, https://dx.doi.org/10.2139/ssrn.3670621.Google Scholar
  • [27] Hu Y, Jin H, Zhou XY (2012) Time-inconsistent stochastic linear-quadratic control. SIAM J. Control Optim. 50(3):1548–1572.CrossrefGoogle Scholar
  • [28] Hu Y, Jin H, Zhou XY (2017) Time-inconsistent stochastic linear-quadratic control: Characterization and uniqueness of equilibrium. SIAM J. Control Optim. 55(2):1261–1279.CrossrefGoogle Scholar
  • [29] Huang Y-J, Zhou Z (2021) Strong and weak equilibria for time-inconsistent stochastic control in continuous time. Math. Oper. Res. Forthcoming.LinkGoogle Scholar
  • [30] Karnam C, Ma J, Zhang J (2017) Dynamic approaches for some time-inconsistent optimization problems. Ann. Appl. Probab. 27(6):3435–3477.CrossrefGoogle Scholar
  • [31] Kryger EM, Steffensen M (2010) Some solvable portfolio problems with quadratic and collective objectives. Preprint, submitted March 28, https://dx.doi.org/10.2139/ssrn.1577265.Google Scholar
  • [32] Kryger E, Nordfang M-B, Steffensen M (2020) Optimal control of an objective functional with non-linearity between the conditional expectations: Solutions to a class of time-inconsistent portfolio problems. Math. Methods Oper. Res. 91(3):405–438.CrossrefGoogle Scholar
  • [33] Laibson D (1997) Golden eggs and hyperbolic discounting. Quart. J. Econom. 112(2):443–477.CrossrefGoogle Scholar
  • [34] Li D, Ng WL (2000) Optimal dynamic portfolio selection: Multiperiod mean-variance formulation. Math. Finance 10(3):387–406.CrossrefGoogle Scholar
  • [35] Li S, Luong C, Angkola F, Wu Y (2016) Optimal asset portfolio with stochastic volatility under the mean-variance utility with state-dependent risk aversion. J. Indust. Management Optim. 12(4):1521–1533.CrossrefGoogle Scholar
  • [36] Lim AE, Zhou XY (2002) Mean-variance portfolio selection with random parameters in a complete market. Math. Oper. Res. 27(1):101–120.LinkGoogle Scholar
  • [37] Markowitz H (1952) Portfolio selection. J. Finance 7(1):77–91.Google Scholar
  • [38] Merton RC (1969) Lifetime portfolio selection under uncertainty: The continuous-time case. Rev. Econom. Statist. 51(3):247–257.CrossrefGoogle Scholar
  • [39] O’Donoghue T, Rabin M (1999) Doing it now or later. Amer. Econom. Rev. 89(1):103–124.CrossrefGoogle Scholar
  • [40] Pedersen JL, Peskir G (2016) Optimal mean-variance selling strategies. Math. Financial Econom. 10(2):203–220.CrossrefGoogle Scholar
  • [41] Pedersen JL, Peskir G (2017) Optimal mean-variance portfolio selection. Math. Financial Econom. 11(2):137–160.CrossrefGoogle Scholar
  • [42] Peleg B, Yaari ME (1973) On the existence of a consistent course of action when tastes are changing. Rev. Econom. Stud. 40(3):391–401.CrossrefGoogle Scholar
  • [43] Pollak RA (1968) Consistent planning. Rev. Econom. Stud. 35(2):201–208.CrossrefGoogle Scholar
  • [44] Pun CS (2018) Time-consistent mean-variance portfolio selection with only risky assets. Econom. Model. 75:281–292.CrossrefGoogle Scholar
  • [45] Richardson HR (1989) A minimum variance result in continuous trading portfolio optimization. Management Sci. 35(9):1045–1055.LinkGoogle Scholar
  • [46] Strotz RH (1955–1956) Myopia and inconsistency in dynamic utility maximization. Rev. Econom. Stud. 23(3):165–180.CrossrefGoogle Scholar
  • [47] Strub MS, Li D (2020) A note on monotone mean-variance preferences for continuous processes. Oper. Res. Lett. 48(4):397–400.CrossrefGoogle Scholar
  • [48] Trybuła J, Zawisza D (2019) Continuous-time portfolio choice under monotone mean-variance preferences—Stochastic factor case. Math. Oper. Res. 44(3):966–987.LinkGoogle Scholar
  • [49] Yong J, Zhou XY (1999) Stochastic Controls: Hamiltonian Systems and HJB Equations (Springer, New York).CrossrefGoogle Scholar
  • [50] Zhou XY, Li D (2000) Continuous time mean-variance portfolio selection: A stochastic LQ framework. Appl. Math. Optim. 42(1):19–33.CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.