Time-consistency in the mean-variance problem: A new perspective
Fuente:
arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2023
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| _version_ | 1866909798742622208 |
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| author | Bäuerle, Nicole Jaśkiewicz, Anna |
| author_facet | Bäuerle, Nicole Jaśkiewicz, Anna |
| contents | We investigate discrete-time mean-variance portfolio selection problems viewed as a Markov decision process. We transform the problems into a new model with deterministic transition function for which the Bellman optimality equation holds. In this way, we can solve the problem recursively and obtain a time-consistent solution, that is an optimal solution that meets the Bellman optimality principle. We apply our technique for solving explicitly a more general framework. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2301_11218 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Time-consistency in the mean-variance problem: A new perspective Bäuerle, Nicole Jaśkiewicz, Anna Optimization and Control 90C40 We investigate discrete-time mean-variance portfolio selection problems viewed as a Markov decision process. We transform the problems into a new model with deterministic transition function for which the Bellman optimality equation holds. In this way, we can solve the problem recursively and obtain a time-consistent solution, that is an optimal solution that meets the Bellman optimality principle. We apply our technique for solving explicitly a more general framework. |
| title | Time-consistency in the mean-variance problem: A new perspective |
| topic | Optimization and Control 90C40 |
| url | https://arxiv.org/abs/2301.11218 |