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

2016 ◽  
Vol 2016 ◽  
pp. 1-20
Author(s):  
Jun Long ◽  
Sanyun Zeng
Keyword(s):  
Optimal Solution ◽  
Subgame Perfect Equilibrium ◽  
International Investment ◽  
Continuous Time Model ◽  
Time Model ◽  
Infinitesimal Operator ◽  
Equilibrium Time ◽  
Investment Problem ◽  
Mean Variance ◽  
Variance Criterion

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.

scholarly journals Optimal Reinsurance-Investment Problem under Mean-Variance Criterion with n Risky Assets

2020 ◽  
Vol 2020 ◽  
pp. 1-16
Author(s):  
Peng Yang
Keyword(s):  
Financial Market ◽  
Investment Strategy ◽  
Hjb Equation ◽  
Model Parameters ◽  
Optimal Reinsurance ◽  
Risky Assets ◽  
Terminal Wealth ◽  
Investment Problem ◽  
Mean Variance ◽  
Variance Criterion

Based on the mean-variance criterion, this paper investigates the continuous-time reinsurance and investment problem. The insurer’s surplus process is assumed to follow Cramér–Lundberg model. The insurer is allowed to purchase reinsurance for reducing claim risk. The reinsurance pattern that the insurer adopts is combining proportional and excess of loss reinsurance. In addition, the insurer can invest in financial market to increase his wealth. The financial market consists of one risk-free asset and n correlated risky assets. The objective is to minimize the variance of the terminal wealth under the given expected value of the terminal wealth. By applying the principle of dynamic programming, we establish a Hamilton–Jacobi–Bellman (HJB) equation. Furthermore, we derive the explicit solutions for the optimal reinsurance-investment strategy and the corresponding efficient frontier by solving the HJB equation. Finally, numerical examples are provided to illustrate how the optimal reinsurance-investment strategy changes with model parameters.

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