In the paper, cooperative two-stage network games are studied. At the first stage of the game, players form a network, while at the second stage players choose their behaviors according to the network realized at the ...In the paper, cooperative two-stage network games are studied. At the first stage of the game, players form a network, while at the second stage players choose their behaviors according to the network realized at the first stage. As a cooperative solution concept in the game, the core is considered.It is proved that some imputations from the core are time inconsistent, whereas one can design for them a time-consistent imputation distribution procedure. Moreover, the strong time consistency problem is also investigated.展开更多
This paper aims to derive the time-consistent investment strategy for the defined contribution(DC) pension plan under the mean-variance criterion.The financial market consists of a risk-free asset and a risky asset of...This paper aims to derive the time-consistent investment strategy for the defined contribution(DC) pension plan under the mean-variance criterion.The financial market consists of a risk-free asset and a risky asset of which price process satisfies the constant elasticity of variance(CEV) model.Compared with the geometric Brownian motion model,the CEV model has the ability of capturing the implied volatility skew and explaining the volatility smile.The authors assume that the contribution to the pension fund is a constant proportion of the pension member's salary.Meanwhile,the salary is stochastic and its volatility arises from the price process of the risky asset,which makes the proposed model different from most of existing researches and more realistic.In the proposed model,the optimization problem can be decomposed into two sub-problems:Before and after retirement cases.By applying a game theoretic framework and solving extended Hamilton-Jacobi-Bellman(HJB) systems,the authors derive the time-consistent strategies and the corresponding value functions explicitly.Finally,numerical simulations are presented to illustrate the effects of model parameters on the time-consistent strategies.展开更多
基金supported by the Russian Foundation for Basic Research under Grant No.13-01-91160Saint Petersburg State University under Grant No.9.38.245.2014+4 种基金the National Natural Science Foundation of China under Grant Nos.71171120,71373262,and 71571108Specialized Research Fund for the Doctoral Program of Higher Education under Grant No.20133706110002Projects of International(Regional)Cooperation and Exchanges of the National Science Foundation of China under Grant Nos.71411130215 and 61661136002Natural Science Foundation of Shandong Province,China under Grant No.ZR2015GZ007Graduate Student Education Innovation Plan of Qingdao University under Grant Nos.QDY12017 and QDY13004
文摘In the paper, cooperative two-stage network games are studied. At the first stage of the game, players form a network, while at the second stage players choose their behaviors according to the network realized at the first stage. As a cooperative solution concept in the game, the core is considered.It is proved that some imputations from the core are time inconsistent, whereas one can design for them a time-consistent imputation distribution procedure. Moreover, the strong time consistency problem is also investigated.
基金the National Natural Science Foundation of China under Grant Nos.11201335,11301376,and 71573110
文摘This paper aims to derive the time-consistent investment strategy for the defined contribution(DC) pension plan under the mean-variance criterion.The financial market consists of a risk-free asset and a risky asset of which price process satisfies the constant elasticity of variance(CEV) model.Compared with the geometric Brownian motion model,the CEV model has the ability of capturing the implied volatility skew and explaining the volatility smile.The authors assume that the contribution to the pension fund is a constant proportion of the pension member's salary.Meanwhile,the salary is stochastic and its volatility arises from the price process of the risky asset,which makes the proposed model different from most of existing researches and more realistic.In the proposed model,the optimization problem can be decomposed into two sub-problems:Before and after retirement cases.By applying a game theoretic framework and solving extended Hamilton-Jacobi-Bellman(HJB) systems,the authors derive the time-consistent strategies and the corresponding value functions explicitly.Finally,numerical simulations are presented to illustrate the effects of model parameters on the time-consistent strategies.
