A Dynamic Mean-Variance Analysis for Log Returns
提出了一个基于对数收益率均值-方差准则的动态投资组合选择模型，该模型能产生时间一致的策略，在非完全市场下也可解析求解，且策略符合传统投资智慧。
We propose a dynamic portfolio choice model with the mean-variance criterion for log returns. The model yields time-consistent portfolio policies and is analytically tractable even under some incomplete market settings. The portfolio policies conform with conventional investment wisdom (e.g., richer people should invest more absolute amounts of money in risky assets; the longer the investment time horizon, the more proportional amount of money should be invested in risky assets; and for long-term investment, people should not short-sell major stock indices whose returns are higher than the risk-free rate), and the model provides a direct link with the constant relative risk aversion utility maximization in a complete market. This paper was accepted by Kay Giesecke, finance.