MEAN-VARIANCE PORTFOLIO SELECTION WITH RANDOM INVESTMENT HORIZON

被引：2
|
作者：
Liu, Jingzhen [1 ]
Yiu, Ka-Fai Cedric [2 ]
Li, Xun [2 ]
Siu, Tak Kuen [3 ]
Teo, Kok Lay [4 ]
机构：
[1] Cent Univ Finance & Econ, China Inst Actuarial Sci, Beijing 100081, Peoples R China
[2] Hong Kong Polytechn Univ, Hunghom, Dept Appl Math, Hong Kong, Peoples R China
[3] Macquarie Univ, Macquarie Business Sch, Dept Actuarial Studies & Business Analyt, Sydney, NSW 2109, Australia
[4] Sunway Univ, Sch Math Sci, Danul Ehsan, Selangor, Malaysia
来源：
JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION | 2023年 / 19卷 / 07期
基金：
中国国家自然科学基金;
关键词：
Mean variance; random time horizon; HJB equations; efficient frontier;
D O I：
10.3934/jimo.2022147
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
This paper studies a continuous-time securities market where an agent, having a random investment horizon and a targeted terminal mean return, seeks to minimize the variance of a portfolio's return. Two situations are discussed, namely a deterministic time-varying density process and a stochastic density process. In contrast to [18], the variance of an investment portfolio is no longer minimal when all assets are invested in a risk-free security. Furthermore, the random investment horizon has a material effect on the efficient frontier. This provides some insights into the classical mutual fund theorem.
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页码：4726 / 4739
页数：14
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