Precommitted Investment Strategy versus Time-Consistent Investment Strategy for a Dual Risk Model

摘要: We are concerned with optimal investment strategy for a dual risk model. assume that the company can invest into risk-free asset and risky asset. Short-selling borrowing money allowed. Due to lack of iterated-expectation property, Bellman Optimization Principle does not hold. Thus we investigate precommitted time-consistent strategy, respectively. take three steps derive strategy. Furthermore, is also obtained by solving extended Hamilton-Jacobi-Bellman equations. compare find these different strategies have advantages: former make value function maximized at original time latter whole horizon. Finally, numerical analysis presented our results.