TY - JOUR
A2 - Kalashnikov, Vyacheslav
AU - Long, Jun
AU - Zeng, Sanyun
PY - 2016
DA - 2016/10/16
TI - Equilibrium Time-Consistent Strategy for Corporate International Investment Problem with Mean-Variance Criterion
SP - 3295041
VL - 2016
AB - 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.
SN - 1024-123X
UR - https://doi.org/10.1155/2016/3295041
DO - 10.1155/2016/3295041
JF - Mathematical Problems in Engineering
PB - Hindawi Publishing Corporation
KW -
ER -