The self-coordination mean-variance strategy in continuous time

Abstract

The dynamic mean-variance portfolio selection problem is time inconsistent. In the literature, scholars try to derive the pre-committed strategy, the time consistent strategy and the self-coordination strategy. The pre-committed strategy only concern the global investment interest of the investor. The time consistent strategy only concerns the local investment interests of the investor, while the self-coordination strategy balances between the global investment interest and local investment interests of the investor. However, the self-coordination strategy is only studied for the discrete time mean-variance setting. We study the self-coordination strategy for the continuous time mean-variance setting in this paper. With the help of mean-field reformulation, we derive the analytical self-coordination mean-variance strategy and show that the pre-committed strategy and time consistent strategy are special cases of the self-coordination strategy.