Hybrid strategy in multiperiod mean-variance framework

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.

Automated summary

In a multiperiod mean-variance framework, the issue of time inconsistency in investor decision-making is addressed. Current approaches either assume no self-control capability or assume sufficient self-control capability. However, in reality, investors often have limited self-control ability. This study formulates the problem as a planner-middleman-doer game and derives the explicit expression for equilibrium strategy.