Optimal investment policy in the time consistent mean – variance formulation

@inproceedings{Chen2015OptimalIP,
  title={Optimal investment policy in the time consistent mean – variance formulation},
  author={Zhi-ping Chen and Gang Li and Ju-e Guo},
  year={2015}
}
As a necessary requirement for multi-period risk measure, time consistency can be examined from two aspects: dynamic riskmeasure andoptimal investment policy. In this paper,we first study the relationship between the time consistency of dynamic risk measure and the time consistency of optimal investment policy and obtain the following conclusions: if the dynamic riskmapping is time consistent andmonotone, then the corresponding optimal investment policy satisfies the time consistency… CONTINUE READING