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

<div>(a) Portfolio changes with home market information cost <svg height="12.5794pt" id="M362" style="vertical-align:-3.29107pt" version="1.1" viewbox="-0.0498162 -9.28833 14.1971 12.5794" width="14.1971pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M529 97L508 118C475 75 449 58 438 58C428 58 421 66 415 104C393 234 374 403 364 496C345 670 307 712 254 712C220 712 174 691 153 669L161 645C176 653 194 658 206 658C237 658 261 640 278 562C287 522 290 483 293 434C223 269 110 105 23 9L32 -12C59 -6 85 0 108 7C152 64 251 252 300 366C307 297 315 221 337 82C346 24 363 -12 393 -12C425 -12 475 13 529 97Z" id="g113-233"></path><glyph.data ascent="3473" descent="-2876" horiz-adv-x="552" vert-adv-y="552"></glyph.data></g><g transform="matrix(.0091,0,0,-0.0091,7.761,3.132)"><path d="M636 22C611 29 589 38 560 74C536 104 518 134 495 173L430 300C518 328 592 392 592 492C592 555 563 594 528 618C491 643 435 650 377 650H140L131 618C222 610 223 601 208 518L137 136C121 43 116 40 27 32L18 0H295L300 32C212 40 206 42 223 138L248 279H296C334 279 350 272 369 230C393 174 413 140 441 94C482 24 523 1 626 -8L636 22ZM497 480C497 422 468 374 417 343C387 324 353 315 304 315H255L298 556C303 583 309 598 319 603C331 610 348 613 367 613C448 613 497 573 497 480Z" id="g50-83"></path><glyph.data ascent="3443" descent="-2856" horiz-adv-x="654" vert-adv-y="654"></glyph.data></g></svg>. (b) Portfolio changes with foreign market information cost <svg height="12.5794pt" id="M363" style="vertical-align:-3.29107pt" version="1.1" viewbox="-0.0498162 -9.28833 18.8513 12.5794" width="18.8513pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M529 97L508 118C475 75 449 58 438 58C428 58 421 66 415 104C393 234 374 403 364 496C345 670 307 712 254 712C220 712 174 691 153 669L161 645C176 653 194 658 206 658C237 658 261 640 278 562C287 522 290 483 293 434C223 269 110 105 23 9L32 -12C59 -6 85 0 108 7C152 64 251 252 300 366C307 297 315 221 337 82C346 24 363 -12 393 -12C425 -12 475 13 529 97Z" id="g113-233"></path><glyph.data ascent="3473" descent="-2876" horiz-adv-x="552" vert-adv-y="552"></glyph.data></g><g transform="matrix(.0091,0,0,-0.0091,7.761,3.132)"><path d="M636 22C611 29 589 38 560 74C536 104 518 134 495 173L430 300C518 328 592 392 592 492C592 555 563 594 528 618C491 643 435 650 377 650H140L131 618C222 610 223 601 208 518L137 136C121 43 116 40 27 32L18 0H295L300 32C212 40 206 42 223 138L248 279H296C334 279 350 272 369 230C393 174 413 140 441 94C482 24 523 1 626 -8L636 22ZM497 480C497 422 468 374 417 343C387 324 353 315 304 315H255L298 556C303 583 309 598 319 603C331 610 348 613 367 613C448 613 497 573 497 480Z" id="g50-83"></path><glyph.data ascent="3443" descent="-2856" horiz-adv-x="654" vert-adv-y="654"></glyph.data></g><g transform="matrix(.0065,0,0,-0.0065,13.549,-.065)"><path d="M503 164C503 183 495 209 482 228C429 236 402 243 352 269C402 295 428 304 482 311C494 330 503 355 502 376C485 385 459 391 436 390C403 347 383 328 336 298C338 354 343 381 365 431C353 451 337 471 318 481C302 471 283 451 273 431C293 381 300 354 303 298C255 328 235 346 202 389C179 390 153 385 135 374C135 355 143 329 156 310C210 302 236 295 286 269C236 243 210 234 156 227C144 208 135 183 136 162C153 153 180 147 202 148C235 191 255 210 303 240C300 184 295 157 274 107C285 87 301 67 320 57C337 67 355 87 365 107C345 157 339 184 336 240C383 210 404 192 436 149C460 148 485 153 503 164Z" id="g176-43"></path><glyph.data ascent="3439" descent="-2858" horiz-adv-x="637" vert-adv-y="637"></glyph.data></g></svg>. (c) Portfolio changes with exchange market information cost <svg height="12.5794pt" id="M364" style="vertical-align:-3.29107pt" version="1.1" viewbox="-0.0498162 -9.28833 12.2425 12.5794" width="12.2425pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M529 97L508 118C475 75 449 58 438 58C428 58 421 66 415 104C393 234 374 403 364 496C345 670 307 712 254 712C220 712 174 691 153 669L161 645C176 653 194 658 206 658C237 658 261 640 278 562C287 522 290 483 293 434C223 269 110 105 23 9L32 -12C59 -6 85 0 108 7C152 64 251 252 300 366C307 297 315 221 337 82C346 24 363 -12 393 -12C425 -12 475 13 529 97Z" id="g113-233"></path><glyph.data ascent="3473" descent="-2876" horiz-adv-x="552" vert-adv-y="552"></glyph.data></g><g transform="matrix(.0091,0,0,-0.0091,7.761,3.132)"><path d="M398 365C398 411 356 451 297 451C250 451 198 430 151 397C65 336 24 230 24 139C24 14 97 -12 148 -12C198 -12 284 7 373 104L355 130C306 84 246 53 198 53C132 53 111 109 111 163V189C209 211 398 261 398 365ZM317 351C317 308 273 262 117 225C134 338 189 383 221 399C230 404 249 407 263 407C295 407 317 389 317 351Z" id="g50-102"></path><glyph.data ascent="3443" descent="-2856" horiz-adv-x="422" vert-adv-y="422"></glyph.data></g></svg>. (d) Portfolio changes with exchange rate <svg height="9.39034pt" id="M365" style="vertical-align:-3.42943pt" version="1.1" viewbox="-0.0498162 -5.96091 11.3682 9.39034" width="11.3682pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M538 96L524 119C492 88 454 63 446 63C439 63 434 70 440 101C463 223 491 341 518 448H508L433 422L401 276C355 192 240 56 188 56C163 56 154 89 163 133C184 233 207 338 235 443L230 448L152 424L58 17C40 -60 23 -143 23 -185C23 -241 42 -261 63 -261C92 -261 117 -241 125 -227L124 -221C109 -209 89 -165 89 -103C89 -55 96 -13 105 26H107C121 -3 134 -12 151 -12C172 -12 194 -5 221 16C279 61 330 124 384 194H386C381 159 377 141 368 105C343 3 363 -12 383 -12C416 -12 486 35 538 96Z" id="g113-234"></path><glyph.data ascent="3473" descent="-2876" horiz-adv-x="555" vert-adv-y="555"></glyph.data></g><g transform="matrix(.0091,0,0,-0.0091,6.89,3.132)"><path d="M398 365C398 411 356 451 297 451C250 451 198 430 151 397C65 336 24 230 24 139C24 14 97 -12 148 -12C198 -12 284 7 373 104L355 130C306 84 246 53 198 53C132 53 111 109 111 163V189C209 211 398 261 398 365ZM317 351C317 308 273 262 117 225C134 338 189 383 221 399C230 404 249 407 263 407C295 407 317 389 317 351Z" id="g50-102"></path><glyph.data ascent="3443" descent="-2856" horiz-adv-x="422" vert-adv-y="422"></glyph.data></g></svg>.</div>

Mathematical Problems in Engineering

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Figure 2

Figure 2: Equilibrium Time-Consistent Strategy for Corporate International Investment Problem with Mean-Variance Criterion 