Precommitted Investment Strategy versus Time-Consistent Investment Strategy for a General Risk Model with Diffusion
We mainly study a general risk model and investigate the precommitted strategy and the time-consistent strategy under mean-variance criterion, respectively. A lagrange method is proposed to derive the precommitted investment strategy. Meanwhile from the game theoretical perspective, we find the time...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Wiley
2014-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2014/358623 |
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| _version_ | 1832545667805872128 |
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| author | Lidong Zhang Ximin Rong Ziping Du |
| author_facet | Lidong Zhang Ximin Rong Ziping Du |
| author_sort | Lidong Zhang |
| collection | DOAJ |
| description | We mainly study a general risk model and investigate the precommitted strategy and the time-consistent strategy under mean-variance criterion, respectively. A lagrange method is proposed to derive the precommitted investment strategy. Meanwhile from the game theoretical perspective, we find the time-consistent investment strategy by solving the extended Hamilton-Jacobi-Bellman equations. By comparing the precommitted strategy with the time-consistent strategy, we find that the company under the time-consistent strategy has to give up the better current utility in order to keep a consistent satisfaction over the whole time horizon. Furthermore, we theoretically and numerically provide the effect of the parameters on these two optimal strategies and the corresponding value functions. |
| format | Article |
| id | doaj-art-b87f499747984052860695ce7bc1704e |
| institution | Kabale University |
| issn | 1085-3375 1687-0409 |
| language | English |
| publishDate | 2014-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Abstract and Applied Analysis |
| spelling | doaj-art-b87f499747984052860695ce7bc1704e2025-02-03T07:25:08ZengWileyAbstract and Applied Analysis1085-33751687-04092014-01-01201410.1155/2014/358623358623Precommitted Investment Strategy versus Time-Consistent Investment Strategy for a General Risk Model with DiffusionLidong Zhang0Ximin Rong1Ziping Du2School of Management, Tianjin University, Tianjin 300072, ChinaSchool of Science, Tianjin University, Tianjin 300072, ChinaCollege of Economics & Management, Tianjin University of Science and Technology, Tianjin 300222, ChinaWe mainly study a general risk model and investigate the precommitted strategy and the time-consistent strategy under mean-variance criterion, respectively. A lagrange method is proposed to derive the precommitted investment strategy. Meanwhile from the game theoretical perspective, we find the time-consistent investment strategy by solving the extended Hamilton-Jacobi-Bellman equations. By comparing the precommitted strategy with the time-consistent strategy, we find that the company under the time-consistent strategy has to give up the better current utility in order to keep a consistent satisfaction over the whole time horizon. Furthermore, we theoretically and numerically provide the effect of the parameters on these two optimal strategies and the corresponding value functions.http://dx.doi.org/10.1155/2014/358623 |
| spellingShingle | Lidong Zhang Ximin Rong Ziping Du Precommitted Investment Strategy versus Time-Consistent Investment Strategy for a General Risk Model with Diffusion Abstract and Applied Analysis |
| title | Precommitted Investment Strategy versus Time-Consistent Investment Strategy for a General Risk Model with Diffusion |
| title_full | Precommitted Investment Strategy versus Time-Consistent Investment Strategy for a General Risk Model with Diffusion |
| title_fullStr | Precommitted Investment Strategy versus Time-Consistent Investment Strategy for a General Risk Model with Diffusion |
| title_full_unstemmed | Precommitted Investment Strategy versus Time-Consistent Investment Strategy for a General Risk Model with Diffusion |
| title_short | Precommitted Investment Strategy versus Time-Consistent Investment Strategy for a General Risk Model with Diffusion |
| title_sort | precommitted investment strategy versus time consistent investment strategy for a general risk model with diffusion |
| url | http://dx.doi.org/10.1155/2014/358623 |
| work_keys_str_mv | AT lidongzhang precommittedinvestmentstrategyversustimeconsistentinvestmentstrategyforageneralriskmodelwithdiffusion AT ximinrong precommittedinvestmentstrategyversustimeconsistentinvestmentstrategyforageneralriskmodelwithdiffusion AT zipingdu precommittedinvestmentstrategyversustimeconsistentinvestmentstrategyforageneralriskmodelwithdiffusion |