随机复杂结构与数据科学重点实验室
学术报告


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Speaker:

崔翔宇 副教授,上海财经大学

Inviter: 夏建明 研究员
Title:
Time-Consistent Strategy and Self-Coordination Strategy for Multi-period Mean-Conditional Value-at-Risk Portfolio Selection
Time & Venue:

2018.8.28 11:00 N613

Abstract:
The multi-period mean-conditional Value-at-Risk (mean-CVaR) portfolio decision model is prone to time inconsistency problem, which drives the CVaR investor away from the global optimal (pre-committed) portfolio strategy. In the literature, the time-consistent and the self-coordination strategies are proposed to resolve time inconsistency issue arising from other sequential decision problems. However, these strategies are seldom studied under the multi-period mean-CVaR portfolio decision framework. This work fills these missing pieces by providing both the analytical solutions and computational tractable methods for these strategies. The revealed time-consistent strategy is a piecewise linear function of the wealth level, whose coefficients can be computed by solving series of mixed-integer programming problems. As for the self-coordination strategy, it is characterized by a convex quadratic programming problem. We also prove that the pre-committed strategy and the time-consistent strategy are extreme cases of the self-coordination strategy. Furthermore, we extend our main findings to a regime-switching market setting.
Affiliation:  

学术报告中国科学院数学与系统科学研究院应用数学研究所
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