کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
479831 | 1446034 | 2014 | 10 صفحه PDF | دانلود رایگان |
• Continuous-time mean-variance stochastic control problems.
• Theoretical and numerical results.
• Integral-type and path-independent payoffs.
• Fund performance and strategies induced by compensation schemes.
• Symmetric/asymmetric remuneration schemes and different.
This paper introduces a general continuous-time mathematical framework for solution of dynamic mean–variance control problems. We obtain theoretical results for two classes of functionals: the first one depends on the whole trajectory of the controlled process and the second one is based on its terminal-time value. These results enable the development of numerical methods for mean–variance problems for a pre-determined risk-aversion coefficient. We apply them to study optimal trading strategies pursued by fund managers in response to various types of compensation schemes. In particular, we examine the effects of continuous monitoring and scheme’s symmetry on trading behavior and fund performance.
Journal: European Journal of Operational Research - Volume 234, Issue 2, 16 April 2014, Pages 561–570