Self-coordination in time inconsistent stochastic decision problems: A planner–doer game framework
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DOI: 10.1016/j.jedc.2016.12.001
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- Cui, Xiangyu & Gao, Jianjun & Shi, Yun & Zhu, Shushang, 2019. "Time-consistent and self-coordination strategies for multi-period mean-Conditional Value-at-Risk portfolio selection," European Journal of Operational Research, Elsevier, vol. 276(2), pages 781-789.
- Ishak Alia & Farid Chighoub & Nabil Khelfallah & Josep Vives, 2021. "Time-Consistent Investment and Consumption Strategies under a General Discount Function," JRFM, MDPI, vol. 14(2), pages 1-27, February.
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More about this item
Keywords
G11; C7; Time inconsistency; Self-coordination; Two-tier planner–doer game framework; Commitment by punishment; Cost of self-coordination; Dynamic mean-variance formulation;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C7 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory
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