A Tri-Objective Reformulation for the Dynamic Mean-Variance Problem by Muhammed Mustafa \u00c7olak<\/p>\n
Thesis Advisor: Asst. Prof. \u00c7a\u011f\u0131n Ararat<\/p>\n
Date: July 24 Wednesday 2024
\nTime: 17:00
\nPlace: Zoom<\/p>\n
This is an online seminar. To obtain event details please send a message to department.<\/p>\n
Abstract:<\/p>\n
The classical mean-variance problem aims to find a portfolio that minimizes a linear combination of the expectation and the variance of the terminal wealth. The dynamic version of the problem is known to be time-inconsistent in the classical sense, which makes the scalar dynamic programming approach inapplicable. By decomposing variance into two separate objectives, we introduce a tri-objective formulation in a discrete-time framework that generalizes the scalar problem and can reduce to the original setting. Using a less restrictive concept of time-consistency in a vector-valued sense, we show that the new formulation is time-consistent. Following the literature on set optimization, we develop a set-valued dynamic programming principle with the upper image of the vector-valued problem used as a value function. Finally, we reduce the generalized solutions of the formulation to the classical mean-variance problem using the minimal points of the three-dimensional upper images. We compute portfolios that are optimal for the initial mean-variance problem, and that remain time-consistent with respect to the tri-objective formulation.<\/p>\n","protected":false},"excerpt":{"rendered":"
A Tri-Objective Reformulation for the Dynamic Mean-Variance Problem by Muhammed Mustafa \u00c7olak Thesis Advisor: Asst. Prof. \u00c7a\u011f\u0131n Ararat Date: July 24 Wednesday 2024 Time: 17:00 Place: Zoom This is an online seminar. To obtain event details please send a message to department. Abstract: The classical mean-variance problem aims to find [\u2026] <\/p>\n