Multiperiod Mean-Standard-Deviation Time Consistent Portfolio Selection
Hugh Bannister, Ben Goldys, Spiridon Penev, Wei Wu
We study a multiperiod portfolio selection problem in which a single period mean standard-deviation criterion is used to construct a separable multiperiod selection criterion. Using this criterion, we obtain a closed form optimal strategy which depends on selection schemes of investor’s risk preference. As a consequence, we develop a multiperiod portfolio selection scheme. In doing so, we adapt a pseudo dynamic programming principle from other existing results. The analysis is performed in the market of risky assets only. However,we allow both market transitions and intermediate cash injections and offtakes.Keywords: Discrete time; Dynamic programming; Time-consistency; Mean-standard-deviation; Non-self-financing.
AMS Subject Classification: Primary 91G10.
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