论文标题
离散时间多周期均值变化模型：贝尔曼类型策略和经验分析
Discrete time multi-period mean-variance model: Bellman type strategy and Empirical analysis
论文作者
论文摘要
在本文中，我们试图以离散的时间多个均值变化模型引入Bellman原理。基于对Bellman原则的这一新看法，我们获得了动态的时间一致的最佳策略和相关的有效边界。此外，我们开发一个不同的投资期离散时间多期均值变化模型，并获得相关的动态最佳策略和最佳投资期。本文将本研究的强调动态最佳策略与1/N平等策略进行了比较，并表明我们可以根据动态最佳策略获得更高的回报，并具有较小的风险。
In this paper, we attempt to introduce the Bellman principle for a discrete time multi-period mean-variance model. Based on this new take on the Bellman principle, we obtain a dynamic time-consistent optimal strategy and related efficient frontier. Furthermore, we develop a varying investment period discrete time multi-period mean-variance model and obtain a related dynamic optimal strategy and an optimal investment period. This paper compares the highlighted dynamic optimal strategies of this study with the 1/n equality strategy, and shows that we can secure a higher return with a smaller risk based on the dynamic optimal strategies.
