论文标题
天真的马克维茨政策
Naive Markowitz Policies
论文作者
论文摘要
我们研究了一个连续的Markowitz平均变化投资组合选择模型，其中幼稚的药物不知道基本的时间不一致，随着时间的推移不断地重新调整。我们通过仅在很小的时间间隔内实施的离散幼稚政策的极限来定义所产生的天真策略，并在分析和明确的情况下得出它们。我们将幼稚的政策与预先提出的最佳政策以及在黑色choles市场中的均衡策略进行比较，并发现前者从任何给定的时间和财富开始都是卑鄙的差异效率低下，并且总是比平衡策略更具风险的敞口。
We study a continuous-time Markowitz mean-variance portfolio selection model in which a naive agent, unaware of the underlying time-inconsistency, continuously reoptimizes over time. We define the resulting naive policies through the limit of discretely naive policies that are committed only in very small time intervals, and derive them analytically and explicitly. We compare naive policies with pre-committed optimal policies and with consistent planners' equilibrium policies in a Black-Scholes market, and find that the former are mean-variance inefficient starting from any given time and wealth, and always take riskier exposure than equilibrium policies.
