Speaker:

崔翔宇 副教授，上海财经大学

Inviter: 
夏建明 研究员 
Title:

TimeConsistent Strategy and SelfCoordination Strategy for Multiperiod MeanConditional ValueatRisk Portfolio Selection 
Time & Venue:

2018.8.28 11:00 N613

Abstract:

The multiperiod meanconditional ValueatRisk (meanCVaR) portfolio decision model is prone to time inconsistency problem, which drives the CVaR investor away from the global optimal (precommitted) portfolio strategy. In the literature, the timeconsistent and the selfcoordination strategies are proposed to resolve time inconsistency issue arising from other sequential decision problems. However, these strategies are seldom studied under the multiperiod meanCVaR portfolio decision framework. This work fills these missing pieces by providing both the analytical solutions and computational tractable methods for these strategies. The revealed timeconsistent strategy is a piecewise linear function of the wealth level, whose coefficients can be computed by solving series of mixedinteger programming problems. As for the selfcoordination strategy, it is characterized by a convex quadratic programming problem. We also prove that the precommitted strategy and the timeconsistent strategy are extreme cases of the selfcoordination strategy. Furthermore, we extend our main findings to a regimeswitching market setting. 
Affiliation: 

