Equilibrium Time-Consistent Strategy for Corporate International Investment Problem with Mean-Variance Criterion

Jun Long and Sanyun Zeng

Mathematical Problems in Engineering, 2016, vol. 2016, 1-20

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.

Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:3295041

DOI: 10.1155/2016/3295041

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