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arXiv · 2201.06233

Robust equilibrium strategy for mean-variance-skewness portfolio selection problem

Jian-hao Kang·Nan-jing Huang·Zhihao Hu·Ben-Zhang Yang
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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.

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Jian-hao Kang, Nan-jing Huang, Zhihao Hu, Ben-Zhang Yang. 2022-01-17. Robust equilibrium strategy for mean-variance-skewness portfolio selection problem. https://arxiv.org/abs/2201.06233

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