Equilibrium Time-Consistent Strategy for Corporate International Investment Problem with Mean-Variance Criterion

被引：3
|
作者：
Long, Jun [1 ,2 ]
Zeng, Sanyun [3 ]
机构：
[1] Sun Yat Sen Univ, Sch Math, Guangzhou 510275, Guangdong, Peoples R China
[2] Jishou Univ, Sch Preparatory Educ Minor Nationalities, Xiangxi 416000, Hunan, Peoples R China
[3] Guangdong Univ Foreign Studies, Sch Accounting, Guangzhou 510006, Guangdong, Peoples R China
来源：
MATHEMATICAL PROBLEMS IN ENGINEERING | 2016年 / 2016卷
基金：
中国国家自然科学基金;
关键词：
REINSURANCE STRATEGIES; OPTIMAL PORTFOLIO; CONSUMPTION; INSURERS; DISCRETE; MODEL; RISK;
D O I：
10.1155/2016/3295041
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
We analyze a continuous-time model for corporate international investment problem (CIIP) with mean-variance criterion. Based on Nash subgame perfect equilibrium theory, we define an infinitesimal operator and directly derive an extended Hamilton-Jacobi-Bellman (HJB) equation. Besides, we also obtain the equilibrium time-consistent strategy for CIIP. In addition, we discuss two cases of risk aversion coefficient; one is constant and the other is state dependent. Finally, the simulation results are given to illustrate our conclusions and the influence of some parameters on the optimal solution.
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页数：20
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