Seminars_raw

Mean-variance portfolio selection with nonnegative state-dependent risk aversion

2020-11-07 14:21

Speaker: Wei Jiaxin

unit:

Time: 2020.11.9 10:30 am

Venue: Tencent ID:417605551

starttime:

Profile:


In this paper, we study the open-loop equilibrium strategy for mean-variance portfolio selection problem under the assumption that the risk tolerance of the investor is a non-negative and nonlinear function of his/her wealth. We derive a sufficient and necessary condition for the existence and uniqueness of an open-loop equilibrium strategy via a coupled forward-backward stochastic differential equation. To the best of our knowledge, such an equation appears for the first time in the literature. The well-posedness of this equation is established by merely imposing Lipschitz condition

on the risk tolerance. We also present two examples with non-monotone risk tolerances, where some interesting findings are revealed and the equilibrium strategies are obtained explicitly and numerically.


Contact us

Add:bat·365(中国)唯一官方网站 -Mobile Lgoin Center,

        No. 135, Ya Guan Road, Jinnan District, Tianjin, PRC 

Tel:022-60787827   Mail:math@tju.edu.cn