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Abstract and Applied Analysis
Volume 2014 (2014), Article ID 358623, 15 pages
Research Article

Precommitted Investment Strategy versus Time-Consistent Investment Strategy for a General Risk Model with Diffusion

1School of Management, Tianjin University, Tianjin 300072, China
2School of Science, Tianjin University of Science and Technology, Tianjin 300457, China
3School of Science, Tianjin University, Tianjin 300072, China
4College of Economics & Management, Tianjin University of Science and Technology, Tianjin 300222, China

Received 16 February 2014; Accepted 11 March 2014; Published 9 April 2014

Academic Editor: Guanglu Zhou

Copyright © 2014 Lidong Zhang et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


We mainly study a general risk model and investigate the precommitted strategy and the time-consistent strategy under mean-variance criterion, respectively. A lagrange method is proposed to derive the precommitted investment strategy. Meanwhile from the game theoretical perspective, we find the time-consistent investment strategy by solving the extended Hamilton-Jacobi-Bellman equations. By comparing the precommitted strategy with the time-consistent strategy, we find that the company under the time-consistent strategy has to give up the better current utility in order to keep a consistent satisfaction over the whole time horizon. Furthermore, we theoretically and numerically provide the effect of the parameters on these two optimal strategies and the corresponding value functions.