Dynamic Mean-Variance Asset Allocation

• 成果类型: Article
• 署名作者: Basak, Suleyman; Chabakauri, Georgy
• 署名单位: University of London; London Business School; Centre for Economic Policy Research - UK; University of London; London School Economics & Political Science
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhq028
• 发表日期: 2010
• 页码: 2970
• 关键词: portfolio selection; stochastic volatility; CONSUMPTION DECISIONS; CONSTANT ELASTICITY; returns; CHOICE; uncertainty; options; rules

摘要

We solve the dynamic mean-variance portfolio problem and derive its time-consistent solution using dynamic programming. Previous literature, in contrast, only determines either myopic or precommitment (committing to follow the initially optimal policy) solutions. We provide a fully analytical simple characterization of the dynamically optimal mean-variance portfolios within a general incomplete-market economy. We also identify a probability measure that incorporates intertemporal hedging demands and facilitates tractability. We illustrate this by easily computing portfolios explicitly under various stochastic investment opportunities. A calibration exercise shows that the mean variance hedging demands are economically significant. (JEL G11, D81, C61)