Time-Consistent Portfolio Policy for Asset-Liability Mean-Variance Model with State-Dependent Risk Aversion

doi:10.1007/s40305-018-0191-9

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	Time-Consistent Portfolio Policy for Asset-Liability Mean-Variance Model with State-Dependent Risk Aversion
	Peng, Liu-Meng 1; Cui, Xiang-Yu 2; Shi, Yun 1
刊名	JOURNAL OF THE OPERATIONS RESEARCH SOCIETY OF CHINA
	2018-03
卷号	6 期号:1 页码:175-188
关键词	State-dependent risk aversion Asset-liability mean-variance model Time-consistent portfolio policy
ISSN号	2194-668X
DOI	10.1007/s40305-018-0191-9
英文摘要	In reality, when facing a multi-period asset-liability portfolio selection problem, the risk aversion attitude of a mean-variance investor may depend on the wealth level and liability level. Thus, in this paper, we propose a state-dependent risk aversion model for the investor, in which risk aversion is a linear function of current wealth level and current liability level. Due to the time inconsistency of the resulting multi-period asset-liability mean-variance model, we investigate its time-consistent portfolio policy by solving a nested mean-variance game formulation. We derive the analytical time-consistent portfolio policy, which takes a linear form of current wealth level and current liability level. We also analyze the influence of the risk aversion coefficients on the time-consistent portfolio policy and the investment performance via a numerical example.
WOS研究方向	Operations Research & Management Science
语种	英语
出版者	SPRINGER HEIDELBERG
WOS记录号	WOS:000429414900010
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/674]
专题	上海财经大学
通讯作者	Shi, Yun
作者单位	1.Shanghai Univ, Sch Management, Shanghai 200444, Peoples R China; 2.Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai 200433, Peoples R China
推荐引用方式 GB/T 7714	Peng, Liu-Meng,Cui, Xiang-Yu,Shi, Yun. Time-Consistent Portfolio Policy for Asset-Liability Mean-Variance Model with State-Dependent Risk Aversion[J]. JOURNAL OF THE OPERATIONS RESEARCH SOCIETY OF CHINA,2018,6(1):175-188.
APA	Peng, Liu-Meng,Cui, Xiang-Yu,&Shi, Yun.(2018).Time-Consistent Portfolio Policy for Asset-Liability Mean-Variance Model with State-Dependent Risk Aversion.JOURNAL OF THE OPERATIONS RESEARCH SOCIETY OF CHINA,6(1),175-188.
MLA	Peng, Liu-Meng,et al."Time-Consistent Portfolio Policy for Asset-Liability Mean-Variance Model with State-Dependent Risk Aversion".JOURNAL OF THE OPERATIONS RESEARCH SOCIETY OF CHINA 6.1(2018):175-188.