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Bücher Englische Bücher Time-Inconsistent Control Theory with Finance Applications
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Time-Inconsistent Control Theory with Finance Applications
Tomas Björk, Mariana Khapko, Agatha Murgoci (Broschiert, Englisch)
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Beschreibung
This 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 applications.
In 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 context. For such models, the very concept of optimality becomes problematic, as the decision maker’s preferences change over time in a temporally inconsistent way. In this book, a time-inconsistent problem is viewed as a non-cooperative game between the agent’s currentand future selves, with the objective of finding intrapersonal equilibria in the game-theoretic sense. A range of finance applications are provided, including problems with non-exponential discounting, mean-variance objective, time-inconsistent linear quadratic regulator, probability distortion, and market equilibrium with time-inconsistent preferences.
Time-Inconsistent Control Theory with Finance Applications
offers the first comprehensive treatment of time-inconsistent control and stopping problems, in both continuous and discrete time, and in the context of finance applications. Intended for researchers and graduate students in the fields of finance and economics, it includes a review of the standard time-consistent results, bibliographical notes, as well as detailed examples showcasing time inconsistency problems. For the reader unacquainted with standard arbitrage theory, an appendix provides a toolbox of material needed for the book. 139,09 €
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Technische Daten
Erscheinungsdatum
04.11.2022
Sprache
Englisch
EAN
9783030818456
Herausgeber
Springer International Publishing
Serien- oder Bandtitel
Springer Finance
Sonderedition
Nein
Autor
Tomas Björk, Mariana Khapko, Agatha Murgoci
Seitenanzahl
326
Auflage
1
Einbandart
Broschiert
Schlagwörter
time-inconsistent control, intrapersonal equilibrium, dynamic programming, stochastic control, Bellman equation, time-inconsistent stopping, non-exponential discounting, hyperbolic discounting, state-dependent risk aversion, linear quadratic regulator
Thema-Inhalt
PBW - Angewandte Mathematik
K - Wirtschaftswissenschaft, Finanzen, Betriebswirtschaft und Management
PBUD - Spieltheorie
PBU - Optimierung
KFFM - Anlagen und Wertpapiere
KFF - Finanzenwesen und Finanzindustrie
Höhe
235 mm
Breite
15.5 cm
Hersteller: Springer Nature Customer Service Center GmbH, Europaplatz 3, Heidelberg, Deutschland, 69115, ProductSafety@springernature.com
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