基于相对财富效用的多阶段投资组合博弈模型

doi:10.16381/j.cnki.issn1003-207x.2019.01.004

Abstract

Abstract: Most existing portfolio optimization models assume that investors are independent. However, the investors especially institutional investors, usually affect each other in actual investment. Based on the portfolio optimization and Nash game theories, the competition relationship is considered into investors' decision-making, and a multi-period portfolio game model is constructed by maximizing the expected utility of the relative terminal wealth of each competitor. The close forms of the Nash equilibrium investment strategy and the corresponding value function are obtained. By using the empirical cumulative distribution function and the certainty equivalent, the Nash equilibrium investment strategy is compared with the traditional strategy in our simulations. The results show that the Nash equilibrium strategy is more effective for investors.

Key words: multi-period portfolio optimization, game model, Nash equilibrium, relative wealth utility

CLC Number:

F830

ZHOU Zhong-bao, REN Tian-tian, XIAO He-lu, WU Shi-jian, LIU Wen-bin. Multi-period Portfolio Game Model Based on Relative Wealth Utility[J]. Chinese Journal of Management Science, 2019, 27(1): 34-43.

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Multi-period Portfolio Game Model Based on Relative Wealth Utility

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