Multi-Period Mean CVAR Asset Allocation: Is it Advantageous to be Time Consistent?

P. Forsyth
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引用次数: 11

Abstract

We formulate the multi-period, time consistent mean-CVAR (Conditional Value at Risk) asset allocation problem in a form amenable to numerical computation. Our numerical algorithm can impose realistic constraints such as: no shorting, no-leverage, and discrete rebalancing. We focus on long term (i.e. 30 year) strategies, which would be typical of an investor in a Defined Contribution (DC) pension plan. A comparison with pre-commitment mean-CVAR strategies shows that adding the time consistent constraint compares unfavourably with the pure pre-commitment strategy. Since the pre-commitment strategy computed at time zero is identical to a time consistent strategy based on an alternative objective function, the pre-commitment mean-CVAR strategy is implementable in this case. Hence it would seem that there is little to be gained from enforcing time consistency.
多期平均CVAR资产配置:时间一致是否有利?
我们用一种适合于数值计算的形式表述了多时期、时间一致的平均-风险条件值资产配置问题。我们的数值算法可以施加现实约束,例如:不做空、不杠杆和离散再平衡。我们专注于长期(即30年)策略,这是固定缴款(DC)养老金计划的典型投资者。与预承诺均值- cvar策略的比较表明,加入时间一致性约束的预承诺策略优于纯预承诺策略。由于在时间0处计算的预承诺策略与基于备选目标函数的时间一致策略相同,因此在这种情况下,预承诺均值- cvar策略是可实现的。因此,强制时间一致性似乎没有什么好处。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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