Self-coordination in time inconsistent stochastic decision problems: a planner-doer game framework
From MaRDI portal
Publication:1655553
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
time inconsistencycommitment by punishmentcost of self-coordinationdynamic mean-variance formulationself-coordinationtwo-tier planner-doer game framework
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
Cites Work
- Unnamed Item
- A theory of Markovian time-inconsistent stochastic control in discrete time
- Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion
- Optimal capital structure and investment decisions under time-inconsistent preferences
- Discrete-time behavioral portfolio selection under cumulative prospect theory
- Dynamic inconsistency and self-control: a planner--doer interpretation.
- Time consistent vs. time inconsistent dynamic asset allocation: some utility cost calculations for mean variance preferences
- Time-consistent investment policies in Markovian markets: a case of mean-variance analysis
- Optimal dividend strategies with time-inconsistent preferences
- Time consistent dynamic risk measures
- Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
- Choice and Procrastination
- The Power of Suggestion: Inertia in 401(k) Participation and Savings Behavior
- Multilevel Optimization Modeling for Risk-Averse Stochastic Programming
- Timing and Self-Control
- Unified Framework of Mean-Field Formulations for Optimal Multi-Period Mean-Variance Portfolio Selection
- Contract Design and Self-Control: Theory and Evidence
- HEDGING BY SEQUENTIAL REGRESSIONS REVISITED
- Incentives for Procrastinators
- Golden Eggs and Hyperbolic Discounting
- Temptation and Self-Control
- BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM
- MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
- Self-Control and the Theory of Consumption
This page was built for publication: Self-coordination in time inconsistent stochastic decision problems: a planner-doer game framework