Robust equilibrium strategy for mean-variance-skewness portfolio selection problem
Abstract
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.
Cite
@article{arxiv.2201.06233,
title = {Robust equilibrium strategy for mean-variance-skewness portfolio selection problem},
author = {Jian-hao Kang and Nan-jing Huang and Zhihao Hu and Ben-Zhang Yang},
journal= {arXiv preprint arXiv:2201.06233},
year = {2022}
}