The self-coordination mean-variance strategy in continuous time

Abstract

The dynamic mean-variance portfolio selection problem is time inconsistent. In the literature, scholars try to derive the precommitted strategy, the time consistent strategy and the self-coordination strategy. The pre-committed strategy only concern the global investment interest of the investor. The time consistent strategy only concerns the local investment interests of the investor, while the selfcoordination strategy balances between the global investment interest and local investment interests of the investor. However, the selfcoordination strategy is only studied for the discrete time mean-variance setting. We study the self-coordination strategy for the continuous time mean-variance setting in this paper. With the help of mean-field reformulation, we derive the analytical self-coordination mean-variance strategy and show that the pre-committed strategy and time consistent strategy are special cases of the self-coordination strategy.