Dynamic Mean-Variance Asset Allocation

Suleyman Basak, G. Chabakauri
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引用次数: 535

Abstract

Mean-variance criteria remain prevalent in multi-period problems, and yet not much is known about their dynamically optimal policies. We provide a fully analytical characterization of the optimal dynamic mean-variance portfolios within a general incomplete-market economy, and recover a simple structure that also inherits several conventional properties of static models. We also identify a probability measure that incorporates intertemporal hedging demands and facilitates much tractability in the explicit computation of portfolios. We solve the problem by explicitly recognizing the time-inconsistency of the mean-variance criterion and deriving a recursive representation for it, which makes dynamic programming applicable. We further show that our time-consistent solution is generically different from the pre-commitment solutions in the extant literature, which maximize the mean-variance criterion at an initial date and which the investor commits to follow despite incentives to deviate. We illustrate the usefulness of our analysis by explicitly computing dynamic mean-variance portfolios under various stochastic investment opportunities in a straightforward way, which does not involve solving a Hamilton-Jacobi-Bellman differential equation. A calibration exercise shows that the mean-variance hedging demands may comprise a significant fraction of the investor's total risky asset demand.
动态均值方差资产配置
均值-方差标准在多周期问题中仍然很流行,但对其动态最优策略的了解并不多。我们提供了一般不完全市场经济中最优动态均值-方差投资组合的全面分析表征,并恢复了一个简单的结构,该结构也继承了静态模型的几个传统特性。我们还确定了一个包含跨期套期保值需求的概率度量,并在投资组合的显式计算中促进了许多可追溯性。我们通过显式识别均方差准则的时间不一致性,并推导其递归表示来解决该问题,从而使动态规划更加适用。我们进一步表明,我们的时间一致性解决方案与现有文献中的预承诺解决方案一般不同,后者在初始日期最大化均值方差标准,并且投资者承诺遵循,尽管有偏离的激励。我们通过明确地以直接的方式计算各种随机投资机会下的动态均值-方差投资组合来说明我们分析的有用性,这并不涉及求解Hamilton-Jacobi-Bellman微分方程。一项校准工作表明,均值方差对冲需求可能占投资者总风险资产需求的很大一部分。
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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