Survey on Multi-period Mean-Variance Portfolio Selection Model

doi:10.1007/s40305-022-00397-6

Journal of the Operations Research Society of China ›› 2022, Vol. 10 ›› Issue (3): 599-622.doi: 10.1007/s40305-022-00397-6

收稿日期:2021-07-08 修回日期:2021-12-16 出版日期:2022-09-30 发布日期:2022-09-06

Survey on Multi-period Mean-Variance Portfolio Selection Model

Xiang-Yu Cui¹, Jian-Jun Gao², Xun Li³, Yun Shi⁴

1. School of Statistics and Management, Shanghai University of Finance and Economics, Shanghai 200433, China;
2. School of Information Management and Engineering, Shanghai University of Finance and Economics, Shanghai 200433, China;
3. Department of Applied Mathematics, The Hong Kong Polytechnic University, Hong Kong, China;
4. Academy of Statistics and Interdisciplinary Sciences, Faculty of Economics and Management, East China Normal University, Shanghai 200062, China

Received:2021-07-08 Revised:2021-12-16 Online:2022-09-30 Published:2022-09-06
Contact: Jian-Jun Gao,Xiang-Yu Cui,Xun Li,Yun Shi E-mail:gao.jianjun@shufe.edu.cn,cui.xiangyu@mail.shufe.edu.cn,li.xun@polyu.edu.hk,yshi@fem.ecnu.edu.cn
Supported by:
This work is partially supported by the National Natural Science Foundation of China (Nos.71971132,61573244,71671106,71971083 and 72171138),by the Key Program of National Natural Science Foundation of China (No.71931004),by Shanghai Institute of International Finance and Economics,by Program for Innovative Research Team of Shanghai University of Finance and Economics and by the Open Research Fund of Key Laboratory of Advanced Theory and Application in Statistics and Data Science-MOE.

摘要/Abstract

Abstract: Due to the non-separability of the variance term,the dynamic mean-variance (MV) portfolio optimization problem is inherently difficult to solve by dynamic programming.Li and Ng (Math Finance 10(3):387-406,2000) and Zhou and Li (Appl Math Optim 42(1):19-33,2000) develop the pre-committed optimal policy for such a problem using the embedding method.Following this line of research,researchers have extensively studied the MV portfolio selection model through the inclusion of more practical investment constraints,realistic market assumptions and various financial applications.As the principle of optimality no longer holds,the pre-committed policy suffers from the time-inconsistent issue,i.e.,the optimal policy computed at the intermediate time t is not consistent with the optimal policy calculated at any time before time t.The time inconsistency of the dynamic MV model has become an important yet challenging research topic.This paper mainly focuses on the multi-period mean-variance (MMV) portfolio optimization problem,reviews the essential extensions and highlights the critical development of time-consistent policies.

Key words: Multi-period mean-variance, Investment constraints, Time inconsistency

中图分类号:

. [J]. Journal of the Operations Research Society of China, 2022, 10(3): 599-622.

Xiang-Yu Cui, Jian-Jun Gao, Xun Li, Yun Shi. Survey on Multi-period Mean-Variance Portfolio Selection Model[J]. Journal of the Operations Research Society of China, 2022, 10(3): 599-622.

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Survey on Multi-period Mean-Variance Portfolio Selection Model

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