Self-coordination in time inconsistent stochastic decision problems: a planner-doer game framework

DOI10.1016/j.jedc.2016.12.001zbMath1401.91043OpenAlexW2560841708WikidataQ57445402 ScholiaQ57445402MaRDI QIDQ1655553

Yun Shi, Xiangyu Cui, Li, Duan

Publication date: 9 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2016.12.001

zbMATH Keywords

time inconsistencycommitment by punishmentcost of self-coordinationdynamic mean-variance formulationself-coordinationtwo-tier planner-doer game framework

Mathematics Subject Classification ID

Decision theory (91B06)

Related Items (13)

Time-consistent portfolio policy for asset-liability mean-variance model with state-dependent risk aversion ⋮ A Nash-Type Fictitious Game Framework to Time-Inconsistent Stochastic Control Problems ⋮ Survey on multi-period mean-variance portfolio selection model ⋮ Equilibrium investment with random risk aversion ⋮ Hybrid strategy in multiperiod mean-variance framework ⋮ The self-coordination mean-variance strategy in continuous time ⋮ Mean-variance dynamic optimality for DC pension schemes ⋮ A paradox in time-consistency in the mean-variance problem? ⋮ A continuous-time theory of reinsurance chains ⋮ Time-consistent and self-coordination strategies for multi-period mean-conditional value-at-risk portfolio selection ⋮ ON TIME CONSISTENCY FOR MEAN-VARIANCE PORTFOLIO SELECTION ⋮ Robust time-inconsistent stochastic control problems ⋮ Robust optimal consumption-investment strategy with non-exponential discounting

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