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Christensen et al., 2019 - Google Patents

Time-inconsistent stopping, myopic adjustment & equilibrium stability: with a mean-variance application

Christensen et al., 2019

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Document ID
7999496676736927943
Author
Christensen S
Lindensjö K
Publication year
Publication venue
arXiv preprint arXiv:1909.11921

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Snippet

For a discrete time Markov chain and in line with Strotz'consistent planning we develop a framework for problems of optimal stopping that are time-inconsistent due to the consideration of a non-linear function of an expected reward. We consider pure and mixed …
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