Precommitted Investment Strategy versus Time-Consistent Investment Strategy for a Dual Risk Model
Joint Authors
Du, Ziping
Rong, Xi-min
Zhang, Lidong
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-13, 13 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-05-19
Country of Publication
Egypt
No. of Pages
13
Main Subjects
Abstract EN
We are concerned with optimal investment strategy for a dual risk model.
We assume that the company can invest into a risk-free asset and a risky asset.
Short-selling and borrowing money are allowed.
Due to lack of iterated-expectation property, the Bellman Optimization Principle does not hold.
Thus we investigate the precommitted strategy and time-consistent strategy, respectively.
We take three steps to derive the precommitted investment strategy.
Furthermore, the time-consistent investment strategy is also obtained by solving the extended Hamilton-Jacobi-Bellman equations.
We compare the precommitted strategy with time-consistent strategy and find that these different strategies have different advantages: the former can make value function maximized at the original time t=0 and the latter strategy is time-consistent for the whole time horizon.
Finally, numerical analysis is presented for our results.
American Psychological Association (APA)
Zhang, Lidong& Rong, Xi-min& Du, Ziping. 2014. Precommitted Investment Strategy versus Time-Consistent Investment Strategy for a Dual Risk Model. Discrete Dynamics in Nature and Society،Vol. 2014, no. 2014, pp.1-13.
https://search.emarefa.net/detail/BIM-512554
Modern Language Association (MLA)
Zhang, Lidong…[et al.]. Precommitted Investment Strategy versus Time-Consistent Investment Strategy for a Dual Risk Model. Discrete Dynamics in Nature and Society No. 2014 (2014), pp.1-13.
https://search.emarefa.net/detail/BIM-512554
American Medical Association (AMA)
Zhang, Lidong& Rong, Xi-min& Du, Ziping. Precommitted Investment Strategy versus Time-Consistent Investment Strategy for a Dual Risk Model. Discrete Dynamics in Nature and Society. 2014. Vol. 2014, no. 2014, pp.1-13.
https://search.emarefa.net/detail/BIM-512554
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-512554