离散时间多期均值-方差模型：Bellman型策略及实证分析
Discrete time multi-period mean-variance model: Bellman type strategy and Empirical analysis
摘要：
本文试图引入离散时间多期均值-方差模型的贝尔曼原理。基于这一新的Bellman原则，我们得到了一个动态的时间一致的最优策略和相关的有效前沿。在此基础上，建立了一个变投资期离散多期均值-方差模型，得到了相应的动态最优策略和最优投资期。本文将本文所提出的动态最优策略与1/n等式策略进行了比较，结果表明，动态最优策略能够以较小的风险获得较高的收益。
英文摘要：
In this paper, we attempt to introduce the Bellman principle for a discrete time multi-period mean-variance model. Based on this new take on the Bellman principle, we obtain a dynamic time-consistent optimal strategy and related efficient frontier. Furthermore, we develop a varying investment period discrete time multi-period mean-variance model and obtain a related dynamic optimal strategy and an optimal investment period. This paper compares the highlighted dynamic optimal strategies of this study with the 1/n equality strategy, and shows that we can secure a higher return with a smaller risk based on the dynamic optimal strategies.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
