论文标题
连续时间均值变化模型的贝尔曼类型策略
Bellman type strategy for the continuous time mean-variance model
论文作者
论文摘要
为了调查连续时间均值变化模型的时刻最佳策略，我们开发了一种新的方法来建立Bellman原理。基于这种新方法，我们获得了一致的动态最佳策略，该策略与预先合作和游戏理论策略不同。与连续时间均值变化模型的现有结果的比较表明，我们的方法具有多个优点。给出了动态最佳策略和最佳财富的明确解决方案。当初始时间给出动态最佳策略时，我们不会在以下投资时间间隔中更改它。
To investigate a time-consistent optimal strategy for the continuous time mean-variance model, we develop a new method to establish the Bellman principle. Based on this new method, we obtain a time-consistent dynamic optimal strategy that differs from the pre-committed and game-theoretic strategies. A comparison with the existing results on the continuous time mean-variance model shows that our method has several advantages. The explicit solutions of the dynamic optimal strategy and optimal wealth are given. When the dynamic optimal strategy is given at the initial time, we do not change it in the following investment time interval.
