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Optimal Feedback Control Rules Sensitive to Controlled Endogenous Risk-Aversion

AuthorsProtopopescu, Dan
KeywordsControlled stochastic environment
Rational decision-maker
Adaptive control
Optimal path
Issue Date15-Jun-2008
SeriesUFAE and IAE Working Papers ; 748.08.
AbstractThe objective of this paper is to correct and improve the results obtained by Van der Ploeg (1984a, 1984b) and utilized in the theoretical literature related to feedback stochastic optimal control sensitive to constant exogenous risk-aversion (see, Jacobson, 1973, Karp, 1987 and Whittle, 1981, 1989, 1990, among others) or to the classic context of risk-neutral decision-makers (see, Chow, 1973, 1976a, 1976b, 1977, 1978, 1981, 1993). More realistic and attractive, this new approach is placed in the context of a time-varying endogenous risk-aversion which is under the control of the decision-maker. It has strong qualitative implications on the agent's optimal policy during the entire planning horizon.
Description42 p.
Appears in Collections:(IAE) Informes y documentos de trabajo
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