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Better Than Classical and Dynamic Mean-Variance Policy.

機譯：比經(jīng)典和動態(tài)均值方差策略更好。

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摘要

Since Markowitz published his seminal work on mean-variance portfolio selection in 1952, almost all literatures in the past half century adhere their investigation to a binding budget spending assumption in static problem settings and a self financing assumption in dynamic settings. In the mean-variance world for a market of all risky assets, however, the common belief of monotonicity does not hold, i.e., not the larger amount you invest, the larger expected future wealth you can expect for a given risk (variance) level. We introduce in this thesis the concept of pseudo efficiency to remove from the candidates such efficient mean-variance policies which can be achieved by less initial investment level. By relaxing the binding budget spending restriction in investment, we derive an optimal scheme in managing initial wealth which dominates the traditional mean-variance efficient frontier. Moreover, as the general dynamic mean-variance portfolio selection formulation does not satisfy the principle of optimality of dynamic programming, phenomena of time inconsistency occur, i.e., investors may have incentives to deviate from the pre-committed optimal mean-variance portfolio policy during the investment process under certain circumstances. By introducing the concept of time inconsistency in efficiency and defining the induced trade-off, we further demonstrate in this thesis that investors behave irrationally under the pre-committed optimal mean-variance portfolio policy when their wealth is above certain threshold during the investment process. By relaxing the self-financing restriction to allow withdrawal of money out of the market, we develop a revised dynamic mean-variance policy for a market with a riskless asset which dominates the pre-committed optimal mean-variance portfolio policy in the sense that, while the two achieve the same mean-variance pair of the terminal wealth, the revised policy enables the investor to receive a free cash flow stream (FCFS) during the investment process. We further apply the concept of pseudo efficiency to a dynamic market of all risky assets and explore (better) revised dynamic mean-variance policies. By including the free cash flow stream in the total wealth, our proposed policy dominates the pre-committed optimal mean-variance portfolio policy in the sense that while both achieve the same total mean, the revised policy generates a smaller total variance. We reveal in this thesis that the time consistency in efficiency is closely related to the completeness of the market. We further discuss the relationship between time consistency in efficiency and the variance-optimal signed martingale measure (VSMM) of the market. Finally we show that time inconsistency in efficiency can be eliminated by enforcing no-shorting constraint for some market setting.
機譯：自從Markowitz在1952年發(fā)表關(guān)于均值方差投資組合選擇的開創(chuàng)性工作以來，過去半個世紀(jì)幾乎所有文獻(xiàn)都堅持對靜態(tài)問題的預(yù)算支出假設(shè)和動態(tài)情況的自籌資金假設(shè)進(jìn)行調(diào)查。但是，在所有風(fēng)險資產(chǎn)的市場的均值方差世界中，單調(diào)性的普遍信念并不成立，即，您投資的金額越大，對于給定風(fēng)險（方差）水平您可以預(yù)期的預(yù)期未來財富就越大。 。在本文中，我們引入了偽效率的概念，以從候選者中刪除可以通過減少初始投資水平來實現(xiàn)的有效均值方差策略。通過放寬對投資的約束性預(yù)算支出限制，我們得出了管理初始財富的最優(yōu)方案，該方案主導(dǎo)了傳統(tǒng)的均值方差有效邊界。此外，由于一般的動態(tài)平均方差投資組合選擇公式不滿足動態(tài)規(guī)劃的最優(yōu)原理，因此會出現(xiàn)時間不一致的現(xiàn)象，即投資者可能有動力在交易過程中偏離預(yù)先承諾的最佳平均方差投資組合政策。在某些情況下的投資過程。通過引入效率中時間不一致的概念并定義誘導(dǎo)的權(quán)衡，我們在本文中進(jìn)一步證明，當(dāng)投資者的財富在投資過程中超過一定閾值時，他們在預(yù)先承諾的最優(yōu)均值方差投資組合政策下表現(xiàn)不合理。通過放寬自籌資金限制以允許從市場撤出資金，我們針對具有無風(fēng)險資產(chǎn)的市場開發(fā)了修訂的動態(tài)均方差策略，該策略在以下方面主導(dǎo)了預(yù)先承諾的最佳均方差投資組合策略：盡管兩者實現(xiàn)了相同的末期財富均值-方差對，但修訂后的政策使投資者能夠在投資過程中獲得自由現(xiàn)金流（FCFS）。我們進(jìn)一步將偽效率的概念應(yīng)用于所有風(fēng)險資產(chǎn)的動態(tài)市場，并探索（更好）修訂的動態(tài)均方差策略。通過將自由現(xiàn)金流包括在總財富中，我們的擬議政策在預(yù)先承諾的最優(yōu)均值方差投資組合策略中處于支配地位，這是因為雖然兩者均實現(xiàn)了相同的總均值，但修訂后的策略產(chǎn)生的總方差較小。本文揭示了效率的時間一致性與市場的完整性密切相關(guān)。我們進(jìn)一步討論效率的時間一致性與市場的方差最優(yōu)有符號mar測度（VSMM）之間的關(guān)系。最后，我們表明，可以通過在某些市場環(huán)境中實施無空頭約束來消除效率上的時間不一致。

著錄項

  • 作者

    Cui, Xiangyu.;

  • 作者單位

    The Chinese University of Hong Kong (Hong Kong).;

  • 授予單位 The Chinese University of Hong Kong (Hong Kong).;
  • 學(xué)科 Economics Finance.
  • 學(xué)位 Ph.D.
  • 年度 2010
  • 頁碼 170 p.
  • 總頁數(shù) 170
  • 原文格式 PDF
  • 正文語種 eng
  • 中圖分類
  • 關(guān)鍵詞

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