Equilibrium Time-Consistent Strategy for Corporate International Investment Problem with Mean-Variance Criterion. (16th October 2016)

• Record Type: Journal Article
• Authors: Long, Jun; Zeng, Sanyun
• Other Names: Kalashnikov Vyacheslav Academic Editor.
• Is Part Of: Mathematical problems in engineering. Volume 2016(2016)
• Publication Date: 2016-10-16
• Subjects: Engineering mathematics -- Periodicals; 510.2462
• DOI: 10.1155/2016/3295041
• Languages: English
• ISSNs: 1024-123X

Abstract

Abstract : 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.