Time-consistent and self-coordination strategies for multi-period mean-Conditional Value-at-Risk portfolio selection

Xiangyu Cui, Jianjun Gao, Yun Shi, Shushang Zhu

Abstract: Highlights•Derive the time-consistent strategy for multi-period mean-conditional Value-at-Risk model.•Show that the coefficients of the strategy are determined by mixed integer programming problems.•Propose the self-coordination strategy for multi-period mean-conditional Value-at-Risk model.•Show that the proposed strategy is determined by a convex quadratic programming.•Extend the main finding to a regime-switching market setting.