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Optimal policy with limited commitment

Kasa, Kenneth - 1994

Persistent link: https://www.econbiz.de/10000907529

Optimal policy with limited commitment

Kasa, Kenneth - In: Journal of economic dynamics & control 22 (1998) 6, pp. 887-910

Persistent link: https://www.econbiz.de/10001237953

Efficient Solution and Computation of Models with Occasionally Binding Constraints

Böhl, Gregor - 2022

Structural estimation of macroeconomic models and new HANK-type models with extremely high dimensionality require fast and robust methods to efficiently deal with occasionally binding constraints (OBCs). This paper proposes a novel algorithm that solves for the perfect foresight path of...

Persistent link: https://www.econbiz.de/10014030468

On a time consistency concept in risk averse multistage stochastic programming

Shapiro, Alexander - In: Operations research letters 37 (2009) 3, pp. 143-147

Persistent link: https://www.econbiz.de/10003903823

Time-inconsistent multistage stochastic programs : martingale bounds

Pflug, Georg; Pichler, Alois - In: European journal of operational research : EJOR 249 (2016) 1, pp. 155-163

Persistent link: https://www.econbiz.de/10011434903

Interchangeability principle and dynamic equations in risk averse stochastic programming

Shapiro, Alexander - In: Operations research letters 45 (2017) 4, pp. 377-381

Persistent link: https://www.econbiz.de/10011740612

On robust multi-period pre-commitment and time-consistent mean-variance portfolio optimization

Cong, F.; Oosterlee, Cornelis Willebrordus - In: International journal of theoretical and applied finance 20 (2017) 7, pp. 1-26

Persistent link: https://www.econbiz.de/10011763920

Optimal policy for a time consistent mean-variance model with regime switching

Li, Gang; Chen, Zhiping; Liu, Jia - In: IMA journal of management mathematics 27 (2016) 2, pp. 211-234

Persistent link: https://www.econbiz.de/10011567026

Decomposability and time consistency of risk averse multistage programs

Shapiro, Alexander; Ugurlu, K. - In: Operations research letters 44 (2016) 5, pp. 663-665

Persistent link: https://www.econbiz.de/10011596625

Optimal dividend-financing strategies in a dual risk model with time-inconsistent preferences

Chen, Shumin; Wang, Xi; Deng, Yinglu; Zeng, Yan - In: Insurance / Mathematics & economics 67 (2016), pp. 27-37

Persistent link: https://www.econbiz.de/10011457145