Precommitted Investment Strategy versus Time-Consistent Investment Strategy for a Dual Risk Model

Figure 1

The comparisons between precommitted strategy and time-consistent strategy with parameters 𝑟₀=0.06, 𝑟₁=0.15, 𝑐=0.6, 𝑥=10, 𝛾=0.6, 𝜆=1, 𝜇_𝑧=1, 𝜎_𝑧=1.1, 𝜎=0.3, and 𝑇=10.

(a) The comparison of optimal strategies

(b) The comparison of optimal value functions

(c) The comparison of different efficient frontiers