Short Communication: Is a Sophisticated Agent Always a Wise One?

DOI10.1137/23m1569137zbMath1530.91620arXiv2304.12273OpenAlexW4387704930MaRDI QIDQ6091089

No author found.

Publication date: 23 November 2023

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2304.12273

zbMATH Keywords

time inconsistencyPareto optimalequilibrium strategynaive strategyprecommitted strategysophisticated agents

Mathematics Subject Classification ID

Noncooperative games (91A10) Financial applications of other theories (91G80) Linear optimal control problems (49N05)

Cites Work

• On time-inconsistent stochastic control in continuous time
• Dynamic approaches for some time-inconsistent optimization problems
• Time-inconsistent optimal control problems and the equilibrium HJB equation
• The golden rule when preferences are time inconsistent
• Time consistency for scalar multivariate risk measures
• Non-cooperative games
• Strong and Weak Equilibria for Time-Inconsistent Stochastic Control in Continuous Time
• On the Equilibrium Strategies for Time-Inconsistent Problems in Continuous Time
• MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
• Me, myself and I: a general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents
• Unnamed Item

This page was built for publication: Short Communication: Is a Sophisticated Agent Always a Wise One?