Comparison of Mean Variance Like Strategies for Optimal Asset
نویسندگان
چکیده
5 We determine the optimal dynamic investment policy for a mean quadratic variation ob6 jective function by numerical solution of a nonlinear Hamilton-Jacobi-Bellman (HJB) partial 7 differential equation (PDE). We compare the efficient frontiers and optimal investment poli8 cies for three mean variance like strategies: pre-commitment mean variance, time-consistent 9 mean variance, and mean quadratic variation, assuming realistic investment constraints (e.g. no 10 bankruptcy, finite shorting, borrowing). When the investment policy is constrained, the efficient 11 frontiers for all three objective functions are similar, but the optimal policies are quite different. 12 13
منابع مشابه
Comparison of Mean Variance Like Strategies for Optimal Asset Allocation Problems
We determine the optimal dynamic investment policy for a mean quadratic variation objective function by numerical solution of a nonlinear Hamilton-Jacobi-Bellman (HJB) partial differential equation (PDE). We compare the efficient frontiers and optimal investment policies for three mean variance like strategies: pre-commitment mean variance, time-consistent mean variance, and mean quadratic vari...
متن کاملOptimal Mean-variance Robust Hedging under Asset Price Model Misspecification
The problem of constructing robust optimal in the mean-variance sense trading strategies is considered. The approach based on the notion of sensitivity of a risk functional of the problem w.r.t. small perturbation of asset price model parameters is suggested. The optimal mean-variance robust trading strategies are constructed for one-dimensional diffusion models with misspecified volatility. 20...
متن کاملContinuous time mean variance asset allocation: A time-consistent strategy
We develop a numerical scheme for determining the optimal asset allocation strategy for time-consistent, continuous time, mean variance optimization. Any type of constraint can be applied to the investment policy. The optimal policies for time-consistent and pre-commitment strategies are compared. When realistic constraints are applied, the efficient frontiers for the precommitment and time-con...
متن کاملComparison between the Mean Variance optimal and the Mean
5 We compare optimal liquidation policies in continuous time in the presence of trading impact using 6 numerical solutions of Hamilton Jacobi Bellman (HJB) partial differential equations (PDE). In par7 ticular, we compare the time-consistent mean-quadratic-variation strategy with the time-inconsistent 8 (pre-commitment) mean-variance strategy. We show that the two different risk measures lead t...
متن کاملOptimal Investment and Bounded Ruin Probability: Constant Portfolio Strategies and Mean-variance Analysis1 By
We study the continuous-time portfolio optimization problem of an insurer. The wealth of the insurer is given by a classical risk process plus gains from trading in a risky asset, modelled by a geometric Brownian motion. The insurer is not only interested in maximizing the expected utility of wealth but is also concerned about the ruin probability. We thus investigate the problem of optimizing ...
متن کامل