Dynamic Mean-Variance Portfolio Selection with Return and Risk Predictability

被引：0
|
作者：
Li, Qian [1 ]
Cui, Xiangyu [2 ]
Shi, Yun [3 ]
机构：
[1] Shanghai Univ Finance & Econ, Nanjing Univ Posts & Telecommun, Sch Econ, Nanjing, Jiangsu, Peoples R China
[2] Shanghai Univ Finance & Econ, Shanghai Inst Int Finance & Econ, Sch Stat & Management, Shanghai, Peoples R China
[3] East China Normal Univ, Sch Stat, Acad Stat & Interdisciplinary Sci, Shanghai, Peoples R China
来源：
2023 35TH CHINESE CONTROL AND DECISION CONFERENCE, CCDC | 2023年
基金：
中国国家自然科学基金;
关键词：
risk predictability; return predictability; mean-variance portfolio selection; ASSET ALLOCATION; OPTIMIZATION; MODELS;
D O I：
10.1109/CCDC58219.2023.10327227
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
We derive a semi-explicit solution to a multi-period mean-variance portfolio selection problem with return and risk predictability. Specifically, we assume that asset return and risk are predicted by a factor structure. The semi-explicit optimal portfolio policy is a linear function of current wealth level and the linear coefficients are characterized by a random process.
引用
收藏
页码：1999 / 2002
页数：4
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