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

الملخص EN

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.