均值-风险动态投资组合模型中时间一致性问题的理论和实证研究

项目名称： 均值-风险动态投资组合模型中时间一致性问题的理论和实证研究

项目编号： No.71201094

项目类型： 青年科学基金项目

立项/批准年度： 2013

项目学科： 管理科学与工程

项目作者： 崔翔宇

作者单位： 上海财经大学

项目金额： 22万元

中文摘要： 动态投资组合模型中的时间一致性问题是指全局最优投资策略是否仍然为局部问题的最优（或有效）策略，是投资组合研究中的重要课题。本项目旨在对动态均值?风险模型中时间一致性问题进行深入的理论和实证研究。研究主要涉及两类不满足时间一致性要求的模型：动态均值?VaR模型和带约束的动态均值?方差模型。对于动态均值?VaR模型，我们将从其有效投资策略出发，研究投资者的风险态度在投资过程中的变化规律，并基于此构造出更好的修正策略。对于带约束的动态均值?方差模型，我们则借助对偶理论和套利理论着重研究时间一致性（或有效性意义下的时间一致性）与约束条件的关系。最后，我们将基于VaR构造出满足弱时间一致性要求的风险度量WVaR，利用时间不一致随机控制方法计算均值?WVaR模型的策略，并实证比较该策略与均值?VaR模型修正策略的投资表现。本项目研究有望解决时间一致性理论中的若干困难问题，并提出新的模型修正方法和技术。

中文关键词： 时间不一致；动态均值-方差模型；动态均值-VaR模型；动态均值-CVaR模型；动态前景理论模型

英文摘要： The time consistency issue in dynamic portfolio selection models concerns whether the global optimal policy is also optimal (or efficient) for the local problem, which is an important topic in the portfolio selection area. This research aims to investigate the time consistency issue in mean-risk dynamic portfolio selection models from theoretical and empirical aspects. We consider two types of models: dynamic mean-VaR model and dynamic mean-variance model with constraints, which both violate time consistency requirement. For dynamic mean-VaR model, we will study efficient investment policy and investigate how the investor's risk attitude changing during the whole investment process. A better revised policy will be then proposed. For dynamic mean-variance model with constraints, we will focus on the relationship between time consistency (or time consistency in efficiency) and the constraints by using duality theory and arbitrage theory, and then find suitable set of constraints to eliminate (or weaken) time inconsistency. Finally, based on VaR, we will construct WVaR, which satisfies weak time consistency, and then compute the corresponding policy of dynamic mean-WVaR model by time inconsistent stochastic control method. And we will empirically compare the investment performance between the policy of dynamic mean

英文关键词： Time inconsistency；dynamic mean-variance model；dynamic mean-VaR model；dynamic mean-CVaR model；dynamic prospect theory model