Please use this identifier to cite or link to this item:
http://hdl.handle.net/10397/96203
DC Field | Value | Language |
---|---|---|
dc.contributor | Department of Applied Mathematics | en_US |
dc.creator | Shi, Y | en_US |
dc.creator | Li, X | en_US |
dc.creator | Cui, X | en_US |
dc.date.accessioned | 2022-11-14T04:06:52Z | - |
dc.date.available | 2022-11-14T04:06:52Z | - |
dc.identifier.issn | 1432-2994 | en_US |
dc.identifier.uri | http://hdl.handle.net/10397/96203 | - |
dc.language.iso | en | en_US |
dc.publisher | Springer | en_US |
dc.rights | © Springer-Verlag Berlin Heidelberg 2017 | en_US |
dc.rights | This version of the article has been accepted for publication, after peer review (when applicable) and is subject to Springer Nature’s AM terms of use(https://www.springernature.com/gp/open-research/policies/accepted-manuscript-terms), but is not the Version of Record and does not reflect post-acceptance improvements, or any corrections. The Version of Record is available online at: http://dx.doi.org/10.1007/s00186-017-0572-6. | en_US |
dc.subject | Jump diffusion market | en_US |
dc.subject | Mean field approach | en_US |
dc.subject | Pre-committed optimal mean-variance policy | en_US |
dc.subject | Semi-self-financing revised policy | en_US |
dc.subject | Time consistency in efficiency | en_US |
dc.title | Better than pre-committed optimal mean-variance policy in a jump diffusion market | en_US |
dc.type | Journal/Magazine Article | en_US |
dc.identifier.spage | 327 | en_US |
dc.identifier.epage | 347 | en_US |
dc.identifier.volume | 85 | en_US |
dc.identifier.issue | 3 | en_US |
dc.identifier.doi | 10.1007/s00186-017-0572-6 | en_US |
dcterms.abstract | Dynamic mean-variance investment model can not be solved by dynamic programming directly due to the nonseparable structure of variance minimization problem. Instead of adopting embedding scheme, Lagrangian duality approach or mean-variance hedging approach, we transfer the model into mean field mean-variance formulation and derive the explicit pre-committed optimal mean-variance policy in a jump diffusion market. Similar to multi-period setting, the pre-committed optimal mean-variance policy is not time consistent in efficiency. When the wealth level of the investor exceeds some pre-given level, following pre-committed optimal mean-variance policy leads to irrational investment behaviors. Thus, we propose a semi-self-financing revised policy, in which the investor is allowed to withdraw partial of his wealth out of the market. And show the revised policy has a better investment performance in the sense of achieving the same mean-variance pair as pre-committed policy and receiving a nonnegative free cash flow stream. | en_US |
dcterms.accessRights | open access | en_US |
dcterms.bibliographicCitation | Mathematical methods of operations research, June 2017, v. 85, no. 3, p. 327-347 | en_US |
dcterms.isPartOf | Mathematical methods of operations research | en_US |
dcterms.issued | 2017-06 | - |
dc.identifier.scopus | 2-s2.0-85013498070 | - |
dc.identifier.eissn | 1432-5217 | en_US |
dc.description.validate | 202211 bcww | en_US |
dc.description.oa | Accepted Manuscript | en_US |
dc.identifier.FolderNumber | RGC-B3-0177, AMA-0487 | - |
dc.description.fundingSource | RGC | en_US |
dc.description.pubStatus | Published | en_US |
dc.identifier.OPUS | 6725227 | - |
dc.description.oaCategory | Green (AAM) | en_US |
Appears in Collections: | Journal/Magazine Article |
Files in This Item:
File | Description | Size | Format | |
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Better_Thpre-committed_Optimal.pdf | Pre-Published version | 391.34 kB | Adobe PDF | View/Open |
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