Time Consistent Strategies for Mean-Variance Asset-Liability Management Problems

Table 5

Investment strategies in a market without riskless asset for 𝜆₀=𝜆₁=0.

𝑡	Time-consistent strategy 𝑢^∗𝑡	Myopic strategy 𝑢𝑡^𝑚𝑦
0	0.903𝑥0+1.194𝑙0−0.066𝑥0+0.107𝑙00.163𝑥0−0.577𝑙0	1.018𝑥0+0.449𝑙0−0.060𝑥0+0.150𝑙00.042𝑥0−0.599𝑙0
1	1.018𝑥1−0.372𝑙1−0.060𝑥1+0.198𝑙10.042𝑥1−0.633𝑙1	1.018𝑥1+0.449𝑙1−0.060𝑥1+0.150𝑙10.042𝑥1−0.599𝑙1