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...
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| Veröffentlicht in: | International Journal of Theoretical and Applied Finance (IJTAF) 2012-03, Vol.15 (2), p.1250014-1250014 |
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| container_end_page | 1250014 |
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| container_issue | 2 |
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| container_title | International Journal of Theoretical and Applied Finance (IJTAF) |
| container_volume | 15 |
| creator | WANG, J. FORSYTH, P. A. |
| description | 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 variation, assuming realistic investment constraints (e.g. no bankruptcy, finite shorting, borrowing). When the investment policy is constrained, the efficient frontiers for all three objective functions are similar, but the optimal policies are quite different. |
| doi_str_mv | 10.1142/S0219024912500148 |
| format | Article |
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When the investment policy is constrained, the efficient frontiers for all three objective functions are similar, but the optimal policies are quite different.</description><subject>Applied economics</subject><subject>Assets</subject><subject>Comparative analysis</subject><subject>Differential analysis</subject><subject>HJB equation</subject><subject>Investment policy</subject><subject>Mathematical finance</subject><subject>Mean quadratic variation investment policy</subject><subject>mean variance asset allocation</subject><subject>optimal control</subject><subject>Variance analysis</subject><issn>0219-0249</issn><issn>1793-6322</issn><issn>1793-6322</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2012</creationdate><recordtype>article</recordtype><sourceid>X2L</sourceid><recordid>eNplUMlOwzAQtRBIVMAHcPORS8BL4sRHE6UQkTaliRA3y3EcYdTSErcsf4-jsBw4jGdGb5nxAHCO0SXGIbmqEMEckZBjEiGEw-QATHDMacAoIYdgMsDBgB-DM-dsgzBnNCKMTsB9Ws4WYplX5RyWUzjLxBw--F7M0wwW-V0Gq3op6uwmzyo4LZewXNT5TBRQVFVWQ1EUZSrq3KsXy_K6yGbVKTjq1MqZs-98AuppVqe3QVHe5KkoAh0hngQsUiaJuwbROGEIGd0i0_g9MUtCxdqWNxpprBtiFFMc6YirpKUm4rFSCeH0BFyMttt-87o3bifX1mmzWqkXs9k7if0nkzgOWeypeKTqfuNcbzq57e1a9Z-eJIcDyn8H9JrHUdObrdG_gndn7fNOdR_yTVKFI_98-iAIE5-sDzQU2wEcrSSWPxUl8mm39tZotH7f9KvWaWtedrazf0P-b_MFri2Gug</recordid><startdate>201203</startdate><enddate>201203</enddate><creator>WANG, J.</creator><creator>FORSYTH, P. 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A.</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c5098-65ae87fb0378600ecd0eb2191684a6dd9bc0c1cb2ea6a90c59a8d3e597aa8293</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2012</creationdate><topic>Applied economics</topic><topic>Assets</topic><topic>Comparative analysis</topic><topic>Differential analysis</topic><topic>HJB equation</topic><topic>Investment policy</topic><topic>Mathematical finance</topic><topic>Mean quadratic variation investment policy</topic><topic>mean variance asset allocation</topic><topic>optimal control</topic><topic>Variance analysis</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>WANG, J.</creatorcontrib><creatorcontrib>FORSYTH, P. 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A.</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>COMPARISON OF MEAN VARIANCE LIKE STRATEGIES FOR OPTIMAL ASSET ALLOCATION PROBLEMS</atitle><jtitle>International Journal of Theoretical and Applied Finance (IJTAF)</jtitle><date>2012-03</date><risdate>2012</risdate><volume>15</volume><issue>2</issue><spage>1250014</spage><epage>1250014</epage><pages>1250014-1250014</pages><issn>0219-0249</issn><issn>1793-6322</issn><eissn>1793-6322</eissn><abstract>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 variation, assuming realistic investment constraints (e.g. no bankruptcy, finite shorting, borrowing). 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| ispartof | International Journal of Theoretical and Applied Finance (IJTAF), 2012-03, Vol.15 (2), p.1250014-1250014 |
| issn | 0219-0249 1793-6322 1793-6322 |
| language | eng |
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| source | World Scientific Journals (Tsinghua Mirror); RePEc; World Scientific Journals |
| subjects | Applied economics Assets Comparative analysis Differential analysis HJB equation Investment policy Mathematical finance Mean quadratic variation investment policy mean variance asset allocation optimal control Variance analysis |
| title | COMPARISON OF MEAN VARIANCE LIKE STRATEGIES FOR OPTIMAL ASSET ALLOCATION PROBLEMS |
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