IDEAS home Printed from https://ideas.repec.org/h/spr/isochp/978-3-319-53518-0_3.html
   My bibliography  Save this book chapter

Time Inconsistency and Self-Control Optimization Problems: Progress and Challenges

In: Optimization and Control for Systems in the Big-Data Era

Author

Listed:
  • Yun Shi

    (Shanghai University)

  • Xiangyu Cui

    (Shanghai University of Finance and Economics)

Abstract

Time inconsistency has been an important issue in many stochastic decision problems arisen in real life and financial decision making, especially in the dynamic investment area. When a stochastic decision problem is time inconsistent, the decision maker would be puzzled by his/her conflicting decisions “optimally” derived from his/her time-varying preferences at different time instants. In the literature, the time inconsistent problem is also called the self-control problem, as the decision maker needs to exert proper self-control to resist present temptation and then achieve a better long-term performance. Different approaches dealing with time inconsistency in the literature are reviewed in this paper. After that, the open questions and challenges are also discussed.

Suggested Citation

  • Yun Shi & Xiangyu Cui, 2017. "Time Inconsistency and Self-Control Optimization Problems: Progress and Challenges," International Series in Operations Research & Management Science, in: Tsan-Ming Choi & Jianjun Gao & James H. Lambert & Chi-Kong Ng & Jun Wang (ed.), Optimization and Control for Systems in the Big-Data Era, chapter 0, pages 33-42, Springer.
    • Handle: RePEc:spr:isochp:978-3-319-53518-0_3
    DOI: 10.1007/978-3-319-53518-0_3
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Tomasz R. Bielecki & Tao Chen & Igor Cialenco, 2020. "Time-inconsistent Markovian control problems under model uncertainty with application to the mean-variance portfolio selection," Papers 2002.02604, arXiv.org, revised Sep 2020.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:isochp:978-3-319-53518-0_3. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.