论文标题
强大的平衡策略，用于均值 - 稳定投资组合选择问题
Robust equilibrium strategy for mean-variance-skewness portfolio selection problem
论文作者
论文摘要
本文通过考虑依赖财富依赖于财富的风险规避和依赖财富依赖性的偏好以及模型不确定性，考虑了歧义性投资者的强劲持续均值变化投资组合选择问题。通过游戏理论方法采用扩展的汉密尔顿 - 雅各比 - 贝尔曼-ISAACS（HJBI）系统，可以通过游戏理论方法来表征强大的平衡投资策略和相应的均衡价值函数。此外，以半闭合形式获得了稳健的平衡投资策略和相应的平衡值函数，以获得特殊稳健的时间一致的均匀变化-Skewness Portfolio选择问题。最后，提供了一些数值实验，以表明与稳健的均衡投资策略和公用事业损失有关的一些新发现。
This paper considers a robust time-consistent mean-variance-skewness portfolio selection problem for an ambiguity-averse investor by taking into account wealth-dependent risk aversion and wealth-dependent skewness preference as well as model uncertainty. The robust equilibrium investment strategy and corresponding equilibrium value function are characterized for such a problem by employing an extended Hamilton-Jacobi-Bellman-Isaacs (HJBI) system via a game theoretic approach. Furthermore, the robust equilibrium investment strategy and corresponding equilibrium value function are obtained in semi-closed form for a special robust time-consistent mean-variance-skewness portfolio selection problem. Finally, some numerical experiments are provided to indicate several new findings concerned with the robust equilibrium investment strategy and the utility losses.
