Time cardinality constrained mean-variance dynamic portfolio selection and market timing: A stochastic control approach

doi:10.1016/j.automatica.2015.01.040

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	Time cardinality constrained mean-variance dynamic portfolio selection and market timing: A stochastic control approach
	Gao, Jianjun 1,2; Li, Duan 3; Cui, Xiangyu 4; Wang, Shouyang 5
刊名	AUTOMATICA
	2015-04
卷号	54 页码:91-99
关键词	Multi-period portfolio selection Multi-period mean-variance formulation Stochastic control Cardinality constraint Market timing
ISSN号	0005-1098
DOI	10.1016/j.automatica.2015.01.040
英文摘要	An investor does not always invest in risky assets in all the time periods, often due to a market timing consideration and various forms of market friction, including the management fee. Motivated by this observed common phenomenon, this paper considers the time cardinality constrained mean-variance dynamic portfolio selection problem (TCCMV) in markets with correlated returns and in which the number of time periods to invest in risky assets is limited. Both the analytical optimal portfolio policy and the analytical expression of the efficient mean-variance (MV) frontier are derived for TCCMV. It is interesting to note whether investing in risky assets or not in a given time period depends entirely on the realization of the two adaptive processes which are closely related to the local optimizer of the conditional Sharpe ratio. By implementing such a solution procedure for different cardinalities, the MV dynamic portfolio selection problem with management fees can be efficiently solved for a purpose of developing the best market timing strategy. The final product of our solution framework is to provide investors advice on the best market timing strategy including the best time cardinality and its distribution, as well as the corresponding investment policy, when balancing the consideration of market opportunity and market frictions. (C) 2015 Elsevier Ltd. All rights reserved.
WOS研究方向	Automation & Control Systems ; Engineering
语种	英语
出版者	PERGAMON-ELSEVIER SCIENCE LTD
WOS记录号	WOS:000353092100013
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/1560]
专题	上海财经大学
通讯作者	Gao, Jianjun
作者单位	1.Shanghai Jiao Tong Univ, Dept Automat, Shanghai 200240, Peoples R China; 2.Minist Educ China, Key Lab Syst Control & Informat Proc, Shanghai 200240, Peoples R China; 3.Chinese Univ Hong Kong, Dept Syst Engn & Engn Management, Hong Kong, Hong Kong, Peoples R China; 4.Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai, Peoples R China; 5.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China
推荐引用方式 GB/T 7714	Gao, Jianjun,Li, Duan,Cui, Xiangyu,et al. Time cardinality constrained mean-variance dynamic portfolio selection and market timing: A stochastic control approach[J]. AUTOMATICA,2015,54:91-99.
APA	Gao, Jianjun,Li, Duan,Cui, Xiangyu,&Wang, Shouyang.(2015).Time cardinality constrained mean-variance dynamic portfolio selection and market timing: A stochastic control approach.AUTOMATICA,54,91-99.
MLA	Gao, Jianjun,et al."Time cardinality constrained mean-variance dynamic portfolio selection and market timing: A stochastic control approach".AUTOMATICA 54(2015):91-99.