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Dynamic Mean-Variance Asset Allocation
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DOI：10.1093/rfs/hhq028.png)
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Abstract
En 中文
We solve the dynamic mean-variance portfolio problem and derive its time-consistent solution using dynamic programming. Previous literature, in contrast, only determines either myopic or precommitment (committing to follow the initially optimal policy) solutions. We provide a fully analytical simple characterization of the dynamically optimal mean-variance portfolios within a general incomplete-market economy. We also identify a probability measure that incorporates intertemporal hedging demands and facilitates tractability. We illustrate this by easily computing portfolios explicitly under various stochastic investment opportunities. A calibration exercise shows that the mean variance hedging demands are economically significant. (JEL G11, D81, C61)
Keywords:
PORTFOLIO SELECTION
STOCHASTIC VOLATILITY
CONSUMPTION DECISIONS
CONSTANT ELASTICITY
RETURNS
CHOICE
UNCERTAINTY
OPTIONS
RULES
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