Time-Consistency in the Mean-Variance Problem: A New Perspective

• 成果类型: Article
• 署名作者: Bauerle, Nicole; Jaskiewicz, Anna
• 署名单位: Helmholtz Association; Karlsruhe Institute of Technology; Wroclaw University of Science & Technology
• 刊物名称: IEEE TRANSACTIONS ON AUTOMATIC CONTROL
• ISSN/ISSBN: 0018-9286
• DOI: 10.1109/TAC.2024.3420413
• 发表日期: 2025
• 页码: 251-262
• 关键词: mathematical models; portfolios; optimal control; dynamic programming; Transforms; STANDARDS; sociology; Bellman optimality principle; linear-quadratic (LQ) optimal control; mean-variance portfolio selection; Time-consistency

摘要

We investigate discrete-time mean-variance portfolio selection problems viewed as a Markov decision process. We transform the problems into a new model with a deterministic transition function for which the optimality equation holds. In this way, we can solve the problem recursively and obtain a time-consistent solution, which is an optimal solution that meets the Bellman optimality principle. We apply our technique for solving explicitly a more general framework.