文章基本信息

标题：Precommitted Investment Strategy versus Time-Consistent Investment Strategy for a Dual Risk Model
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作者：Lidong Zhang ; Ximin Rong ; Ziping Du 等
期刊名称：Discrete Dynamics in Nature and Society
印刷版ISSN：1026-0226
电子版ISSN：1607-887X
出版年度：2014
卷号：2014
DOI：10.1155/2014/972487
出版社：Hindawi Publishing Corporation
摘要：We are concerned with optimal investment strategy for a dual risk model. We assume that the company can invest into a risk-free asset and a risky asset. Short-selling and borrowing money are allowed. Due to lack of iterated-expectation property, the Bellman Optimization Principle does not hold. Thus we investigate the precommitted strategy and time-consistent strategy, respectively. We take three steps to derive the precommitted investment strategy. Furthermore, the time-consistent investment strategy is also obtained by solving the extended Hamilton-Jacobi-Bellman equations. We compare the precommitted strategy with time-consistent strategy and find that these different strategies have different advantages: the former can make value function maximized at the original time and the latter strategy is time-consistent for the whole time horizon. Finally, numerical analysis is presented for our results.