Precommitted Investment Strategy versus Time-Consistent Investment Strategy for a General Risk Model with Diffusion
Joint Authors
Du, Ziping
Rong, Xi-min
Zhang, Lidong
Source
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-15, 15 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-03-18
Country of Publication
Egypt
No. of Pages
15
Main Subjects
Abstract EN
We mainly study a general risk model and investigate the precommitted strategy and the time-consistent strategy under mean-variance criterion, respectively.
A lagrange method is proposed to derive the precommitted investment strategy.
Meanwhile from the game theoretical perspective, we find the time-consistent investment strategy by solving the extended Hamilton-Jacobi-Bellman equations.
By comparing the precommitted strategy with the time-consistent strategy, we find that the company under the time-consistent strategy has to give up the better current utility in order to keep a consistent satisfaction over the whole time horizon.
Furthermore, we theoretically and numerically provide the effect of the parameters on these two optimal strategies and the corresponding value functions.
American Psychological Association (APA)
Zhang, Lidong& Rong, Xi-min& Du, Ziping. 2014. Precommitted Investment Strategy versus Time-Consistent Investment Strategy for a General Risk Model with Diffusion. Abstract and Applied Analysis،Vol. 2014, no. 2014, pp.1-15.
https://search.emarefa.net/detail/BIM-1013763
Modern Language Association (MLA)
Zhang, Lidong…[et al.]. Precommitted Investment Strategy versus Time-Consistent Investment Strategy for a General Risk Model with Diffusion. Abstract and Applied Analysis No. 2014 (2014), pp.1-15.
https://search.emarefa.net/detail/BIM-1013763
American Medical Association (AMA)
Zhang, Lidong& Rong, Xi-min& Du, Ziping. Precommitted Investment Strategy versus Time-Consistent Investment Strategy for a General Risk Model with Diffusion. Abstract and Applied Analysis. 2014. Vol. 2014, no. 2014, pp.1-15.
https://search.emarefa.net/detail/BIM-1013763
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1013763