Equilibrium Time-Consistent Strategy for Corporate International Investment Problem with Mean-Variance Criterion
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2016, Issue 2016 (31 Dec. 2016), pp.1-20, 20 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2016-10-16
Country of Publication
Egypt
No. of Pages
20
Main Subjects
Abstract 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.
American Psychological Association (APA)
Long, Jun& Zeng, Sanyun. 2016. Equilibrium Time-Consistent Strategy for Corporate International Investment Problem with Mean-Variance Criterion. Mathematical Problems in Engineering،Vol. 2016, no. 2016, pp.1-20.
https://search.emarefa.net/detail/BIM-1112014
Modern Language Association (MLA)
Long, Jun& Zeng, Sanyun. Equilibrium Time-Consistent Strategy for Corporate International Investment Problem with Mean-Variance Criterion. Mathematical Problems in Engineering No. 2016 (2016), pp.1-20.
https://search.emarefa.net/detail/BIM-1112014
American Medical Association (AMA)
Long, Jun& Zeng, Sanyun. Equilibrium Time-Consistent Strategy for Corporate International Investment Problem with Mean-Variance Criterion. Mathematical Problems in Engineering. 2016. Vol. 2016, no. 2016, pp.1-20.
https://search.emarefa.net/detail/BIM-1112014
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1112014
