Short Communication: Is a Sophisticated Agent Always a Wise One?
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Abstract: For time inconsistent optimal control problems, a quite popular approach is the equilibrium approach, taken by the sophisticated agents. In this short note we construct a deterministic continuous time example where the unique equilibrium is dominated by another control. Therefore, in this situation it may not be wise to take the equilibrium strategy.
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Cites work
- Dynamic approaches for some time-inconsistent optimization problems
- scientific article; zbMATH DE number 3139280 (Why is no real title available?)
- Me, myself and I: a general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents
- Mean-variance portfolio optimization with state-dependent risk aversion
- Non-cooperative games
- On the equilibrium strategies for time-inconsistent problems in continuous time
- On time-inconsistent stochastic control in continuous time
- Strong and weak equilibria for time-inconsistent stochastic control in continuous time
- The golden rule when preferences are time inconsistent
- Time consistency for scalar multivariate risk measures
- Time-inconsistent optimal control problems and the equilibrium HJB equation
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