Open Access
2013 Time-Consistent Strategies for a Multiperiod Mean-Variance Portfolio Selection Problem
Huiling Wu
J. Appl. Math. 2013: 1-13 (2013). DOI: 10.1155/2013/841627


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.


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Huiling Wu. "Time-Consistent Strategies for a Multiperiod Mean-Variance Portfolio Selection Problem." J. Appl. Math. 2013 1 - 13, 2013.


Published: 2013
First available in Project Euclid: 14 March 2014

zbMATH: 1266.91096
MathSciNet: MR3049432
Digital Object Identifier: 10.1155/2013/841627

Rights: Copyright © 2013 Hindawi

Vol.2013 • 2013
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