Time-consistent mean-variance portfolio selection with only risky assets

• Main Author: Pun, Chi Seng
• Other Authors: School of Physical and Mathematical Sciences
• Format: Article
• Language: English
• Published: 2018
• Subjects: Dynamic Global Minimum-Variance Strategy; DRNTU::Science::Mathematics; Time-consistent Strategy
• Online Access: https://hdl.handle.net/10356/85117; http://hdl.handle.net/10220/46283
• Institution: Nanyang Technological University

Time consistency and optimal diversification criteria are popular in the dynamic portfolio construction in practice. This paper is devoted to the exact analytical solution of the time-consistent mean-variance portfolio selection with assets that can be all risky in a continuous-time economy, of whic...