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

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  • Jun Long
  • Sanyun Zeng

Abstract

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.

Suggested Citation

  • Jun Long & Sanyun Zeng, 2016. "Equilibrium Time-Consistent Strategy for Corporate International Investment Problem with Mean-Variance Criterion," Mathematical Problems in Engineering, Hindawi, vol. 2016, pages 1-20, October.
    • Handle: RePEc:hin:jnlmpe:3295041
    DOI: 10.1155/2016/3295041
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