Abstract
In multiperiod mean-variance framework, the investor suffers time inconsistency. Current solution schemes either reformulate the problem into a sequential by assuming there is no ability of conducting self-control, or reformulate the problem into a planner-doer game by assuming there is enough ability of conducting self-control. However, in reality, the investor often has limited ability of conducting self-control and we reformulate the problem as a planner-middleman-doer game. We derive the explicit expression of the equilibrium strategy.
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Funding
Funding was provided by National Key R&D Program of China (Grant no. 2021YFA1000100 and 2021YFA1000104). National Natural Science Foundation of China, 71671106, 72171138, 71971083, 71931004. Program for Innovative Research Team of Shanghai University of Finance and Economics 2020110930. Open Research Fund of Key Laboratory of Advanced Theory and Application in Statistics and Data Science - MOE.
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Cui, X., Li, D., Shi, Y. et al. Hybrid strategy in multiperiod mean-variance framework. Optim Lett 17, 493–509 (2023). https://doi.org/10.1007/s11590-022-01885-7
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DOI: https://doi.org/10.1007/s11590-022-01885-7