When C = 0, (1) becomes a mean-variance criterion problem.

In Section 2, we introduce the general optimization problem with mean-variance criterion in continuous time and derive an extended HJB equation directly.

Corporate International Investment Problem with Mean-Variance Criterion

In this section, we consider corporate international investment problem (CIIP) under mean-variance criterion with state-dependent risk aversion coefficient which is discussed in Bjorket al.

In this paper, we analyze a continuous-time model for corporate international investment problem (CIIP) with mean-variance criterion.

If we compare the first two moments (mean-variance analysis), note that for m high, the expectation and variance of the CPPI portfolio are greater than those of the OBPI one and so there is no-dominance with respect to the

mean-variance criterion.

If the decision-maker is risk-averse or if the outcome distributions are normally distributed, then the familiar mean-variance criterion can be used to select the optimal hedging strategy.

However, if the decision-maker is risk-averse and the outcome distributions resulting from the use of the hedging strategies are normal, the simple mean-variance criterion can be employed to select the best strategy.

By taking account of all points of a hedging strategy's outcome distribution, the approach avoids the problems and paradoxes associated with popular selection procedures based strictly on numerical accuracy or the mean-variance criterion.

However, neither approach enjoys the popularity of Markowitz's mean-variance criterion.

Thus, the authors are unable to determine which strategy is the dominant strategy using their mean-variance criterion.

Equilibrium time-consistent strategy for corporate international investment problem with

mean-variance criterion is proposed and founded in "Equilibrium Time-Consistent Strategy for Corporate International Investment Problem with

Mean-Variance Criterion" by J.