A Dynamic Mean-Variance Analysis for Log Returns

• 成果类型: Article
• 署名作者: Dai, Min; Jin, Hanqing; Kou, Steven; Xu, Yuhong
• 署名单位: National University of Singapore; National University of Singapore; University of Oxford; Boston University; Soochow University - China; Soochow University - China
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2019.3493
• 发表日期: 2021
• 关键词: portfolio choices; stochastic volatility; time varying mean returns; risk aversion recovery

摘要

We propose a dynamic portfolio choice model with the mean-variance criterion for log returns. The model yields time-consistent portfolio policies and is analytically tractable even under some incomplete market settings. The portfolio policies conform with conventional investment wisdom (e.g., richer people should invest more absolute amounts of money in risky assets; the longer the investment time horizon, the more proportional amount of money should be invested in risky assets; and for long-term investment, people should not short-sell major stock indices whose returns are higher than the risk-free rate), and the model provides a direct link with the constant relative risk aversion utility maximization in a complete market.