MEAN-VARIANCE POLICY FOR DISCRETE-TIME CONE-CONSTRAINED MARKETS: TIME CONSISTENCY IN EFFICIENCY AND THE MINIMUM-VARIANCE SIGNED SUPERMARTINGALE MEASURE

doi:10.1111/mafi.12093

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	MEAN-VARIANCE POLICY FOR DISCRETE-TIME CONE-CONSTRAINED MARKETS: TIME CONSISTENCY IN EFFICIENCY AND THE MINIMUM-VARIANCE SIGNED SUPERMARTINGALE MEASURE
	Cui, Xiangyu 1,2; Li, Duan 3; Li, Xun 4
刊名	MATHEMATICAL FINANCE
	2017-04
卷号	27 期号:2 页码:471-504
关键词	cone-constrained market discrete-time mean-variance policy time consistency in efficiency minimum-variance signed supermartingale measure
ISSN号	0960-1627
DOI	10.1111/mafi.12093
英文摘要	The discrete-time mean-variance portfolio selection formulation, which is a representative of general dynamic mean-risk portfolio selection problems, typically does not satisfy time consistency in efficiency (TCIE), i.e., a truncated precommitted efficient policy may become inefficient for the corresponding truncated problem. In this paper, we analytically investigate the effect of portfolio constraints on the TCIE of convex cone-constrained markets. More specifically, we derive semi-analytical expressions for the precommitted efficient mean-variance policy and the minimum-variance signed supermartingale measure (VSSM) and examine their relationship. Our analysis shows that the precommitted discrete-time efficient mean-variance policy satisfies TCIE if and only if the conditional expectation of the density of the VSSM (with respect to the original probability measure) is nonnegative, or once the conditional expectation becomes negative, it remains at the same negative value until the terminal time. Our finding indicates that the TCIE property depends only on the basic market setting, including portfolio constraints. This motivates us to establish a general procedure for constructing TCIE dynamic portfolio selection problems by introducing suitable portfolio constraints.
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
语种	英语
出版者	WILEY
WOS记录号	WOS:000397560600006
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/1005]
专题	上海财经大学
通讯作者	Li, Duan
作者单位	1.Shanghai Univ Finance & Econ, Shanghai, Peoples R China; 2.Minist Educ, Key Lab Math Econ SUFE, Shanghai, Peoples R China; 3.Chinese Univ Hong Kong, Hong Kong, Hong Kong, Peoples R China; 4.Hong Kong Polytech Univ, Hong Kong, Hong Kong, Peoples R China
推荐引用方式 GB/T 7714	Cui, Xiangyu,Li, Duan,Li, Xun. MEAN-VARIANCE POLICY FOR DISCRETE-TIME CONE-CONSTRAINED MARKETS: TIME CONSISTENCY IN EFFICIENCY AND THE MINIMUM-VARIANCE SIGNED SUPERMARTINGALE MEASURE[J]. MATHEMATICAL FINANCE,2017,27(2):471-504.
APA	Cui, Xiangyu,Li, Duan,&Li, Xun.(2017).MEAN-VARIANCE POLICY FOR DISCRETE-TIME CONE-CONSTRAINED MARKETS: TIME CONSISTENCY IN EFFICIENCY AND THE MINIMUM-VARIANCE SIGNED SUPERMARTINGALE MEASURE.MATHEMATICAL FINANCE,27(2),471-504.
MLA	Cui, Xiangyu,et al."MEAN-VARIANCE POLICY FOR DISCRETE-TIME CONE-CONSTRAINED MARKETS: TIME CONSISTENCY IN EFFICIENCY AND THE MINIMUM-VARIANCE SIGNED SUPERMARTINGALE MEASURE".MATHEMATICAL FINANCE 27.2(2017):471-504.