Time-Inconsistent Control Theory with Finance Applications - 9783030818425
£89.40
Time-Inconsistent Control Theory with Finance ApplicationsAuthor(s): Tomas Bjrk, Mariana Khapko, Agatha Murgoci\nFormat: Hardback\nPublisher: Springer Nature Switzerland AG, Switzerland\nImprint: Springer Nature Switzerland AG\nISBN-13: 9783030818425, 978-3030818425\nSynopsis\nThis book is devoted to problems of stochastic control and stopping that are time inconsistent in the sense that they do not admit a Bellman optimality principle. These problems are cast in a game-theoretic framework, with the focus on subgame-perfect Nash equilibrium strategies. The general theory is illustrated with a number of finance [url] dynamic choice problems, time inconsistency is the rule rather than the exception. Indeed, as Robert H. Strotz pointed out in his seminal 1955 paper, relaxing the widely used ad hoc assumption of exponential discounting gives rise to time inconsistency. Other famous examples of time inconsistency include mean-variance portfolio choice and prospect theory in a dynamic cont.
Time-Inconsistent Control Theory with Finance Applications - 9783030818425
Time-Inconsistent Control Theory with Finance ApplicationsAuthor(s): Tomas Bjrk, Mariana Khapko, Agatha Murgoci\nFormat: Hardback\nPublisher: Springer Nature Switzerland AG, Switzerland\nImprint: Springer Nature Switzerland AG\nISBN-13: 9783030818425, 978-3030818425\nSynopsis\nThis book is devoted to problems of stochastic control and stopping that are time inconsistent in the sense that they do not admit a Bellman optimality principle. These problems are cast in a game-theoretic framework, with the focus on subgame-perfect Nash equilibrium strategies. The general theory is illustrated with a number of finance [url] dynamic choice problems, time inconsistency is the rule rather than the exception. Indeed, as Robert H. Strotz pointed out in his seminal 1955 paper, relaxing the widely used ad hoc assumption of exponential discounting gives rise to time inconsistency. Other famous examples of time inconsistency include mean-variance portfolio choice and prospect theory in a dynamic cont.
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