Equilibrium time-consistent strategy for corporate international investment problem with mean-variance criterion (Q1792974)
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| Language | Label | Description | Also known as |
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| English | Equilibrium time-consistent strategy for corporate international investment problem with mean-variance criterion |
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Equilibrium time-consistent strategy for corporate international investment problem with mean-variance criterion (English)
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12 October 2018
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Summary: 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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