关键词: 时间非一致性, 不允许卖空, 最优资产配置策略

Abstract: Time inconsistency, also known as dynamic inconsistency, means that the optimal decision in the previous period may not be optimal in the next period. Considering the fact that short selling is not allowed in China’s stock market, this paper studies the optimal time-consistent asset allocation strategy of mean-variance investors under the condition that short selling is not allowed. Because the traditional HJB(Hamilton-Jacob-Bellman) equation is no longer applicable under the condition of time inconsistency, this paper uses the improved HJB equation and two key lemmas to obtain the optimal asset allocation strategy, the analytic solution of value function and the efficient frontier respectively under two different situations: one venture asset investment and some venture assets investment involved in investing in risk-free assets. The analysis shows that the optimal asset allocation strategy implies the two fund separation theorem. Finally, this paper compares the results of investment income and risk without short selling.

Key words: time inconsistency, no short selling, optimail asset allocation strategy