Short Communication: Is a Sophisticated Agent Always a Wise One?

IF 1.4 4区经济学 Q3 BUSINESS, FINANCE

SIAM Journal on Financial Mathematics Pub Date : 2023-10-17 DOI:10.1137/23m1569137

Jianfeng Zhang

引用次数: 0

Abstract

For time-inconsistent optimal control problems, a quite popular approach is the equilibrium approach, taken by sophisticated agents. In this short note, we construct a deterministic continuous-time example where the unique equilibrium is dominated by another control. Therefore, in this situation, it may not be wise to take the equilibrium strategy.

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简短的交流:老练的特工总是明智的吗?

对于时间不一致的最优控制问题，一种非常流行的方法是由复杂智能体采用的均衡方法。在这个简短的说明中，我们构造了一个确定性连续时间的例子，其中唯一的平衡由另一个控制控制。因此，在这种情况下，采取均衡策略可能并不明智。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

SIAM Journal on Financial Mathematics MATHEMATICS, INTERDISCIPLINARY APPLICATIONS-

CiteScore

2.30

自引率

10.00%

发文量

期刊介绍： SIAM Journal on Financial Mathematics (SIFIN) addresses theoretical developments in financial mathematics as well as breakthroughs in the computational challenges they encompass. The journal provides a common platform for scholars interested in the mathematical theory of finance as well as practitioners interested in rigorous treatments of the scientific computational issues related to implementation. On the theoretical side, the journal publishes articles with demonstrable mathematical developments motivated by models of modern finance. On the computational side, it publishes articles introducing new methods and algorithms representing significant (as opposed to incremental) improvements on the existing state of affairs of modern numerical implementations of applied financial mathematics.