期刊
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
卷 252, 期 3, 页码 837-851出版社
ELSEVIER
DOI: 10.1016/j.ejor.2016.01.049
关键词
Stochastic interest rate; Multi-period mean-variance portfolio selection; Uncontrollable liability; Dynamic programming; Lagrangian duality
资金
- National Natural Science Foundation of China [71231008, 71471045]
- China Postdoctoral Science Foundation [2014M560658, 2015T80896]
- Natural Science Foundation of Guangdong Province of China [2014A030312003]
- Philosophy and Social Science Foundation of Guangzhou [14G42]
- Humanities and Social Science Research Foundation of the National Ministry of Education of China [15YJAZH051]
- Characteristic and Innovation Foundation of Guangdong Colleges and Universities (Humanity and Social Science Type)
While the literature on dynamic portfolio selection with stochastic interest rates only confines its investigation to the continuous-time setting up to now, this paper studies a multi-period mean-variance portfolio selection problem with a stochastic interest rate, where the movement of the interest rate is governed by the discrete-time Vasicek model. Invoking dynamic programming approach and the Lagrange duality theory, we derive the analytical expressions for both the efficient investment strategy and the efficient mean-variance frontier of the model formulation. We then extend our model to the situation with an uncontrollable liability. (C) 2016 Elsevier B.V. All rights reserved.
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