主题：Dynamic Mean-Risk Asset Allocation and Myopic Strategies: A Universal Portfolio Rule
Abstract: In a market that consists of multiple stocks and one risk-free asset whose expected return rates and volatility are deterministic, we study a continuous-time mean-risk portfolio selection problem in which an agent is subject to a constraint that the expectation of her terminal wealth must exceed a target and minimizes the risk of her investment, which can be the variance or tail risk of her terminal wealth. Setting the target to be proportion to the agent's current wealth, we derive the equilibrium policy in closed form, and this policy is myopic and does not depend on the risk measure used by the agent nor on the agent's evaluation period. For another two targets, one that is the risk-free payoff of the agent's current wealth plus a premium and the other that is a weighted average of the risk-free payoff of the agent's current wealth and a pre-determined target, we also derive the equilibrium policy in closed form when the agent measures risk by the variance of her terminal wealth.
This is a joint work with Zhaoli Jiang.
Department of Systems Engineering and Engineering Management (SEEM)
The Chinese University of Hong Kong
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