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 Because the traditional HJB(Hamilton-Jacob-Bellman) equation is no longer applicable under the condition of time inconsistency, this paper uses the improved HJB equation and two key lemmas to obtain the optimal asset allocation strategy, the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

摘要： 时间非一致性亦称动态不一致性，就是上一期最优的决策到下一期不一定最优。考虑到我国股票市场不允许卖空的实际，在不允许卖空的市场条件下，研究均值-方差投资者的最优时间一致性资产配置策略，时间非一致性来源于目标函数中期望的平方项。由于在时间非一致性条件下，传统的HJB方程不再适用，故利用改进的HJB方程，借助两个关键引理，分别得到了在投资于无风险资产之外仅投资于一种风险资产和投资于多种风险资产两种不同情形下的最优资产配置策略、价值函数的解析解以及有效前沿。并且，经分析可知，最优资产配置策略暗含了两基金分离定理。最后，将所得结果与无卖空限制下的投资收益和风险水平进行了对比。

关键词: 时间非一致性, 不允许卖空, 最优资产配置策略