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Optimal Feedback Control Rules Sensitive to Controlled Endogenous Risk-Aversion

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Author Info
Dan Protopopescu ()
Abstract

The objective of this paper is to correct and improve the results obtained by Van der Ploeg (1984a, 1984b) and utilized in the literature related to feedback stochastic optimal control sensitive to constant exogenous risk-aversion (Karp 1987; Whittle 1989, 1990; Chow 1993, amongst others). More realistic, the proposed approach deals with endoge- nous risks that are under the control of the decision-maker. It has strong implications on the policy decisions adopted by the decision-maker during the entire planning horizon.

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Publisher Info
Paper provided by Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) in its series UFAE and IAE Working Papers with number 748.08.

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Length: 32
Date of creation: 15 Jun 2008
Date of revision: 03 Dec 2009
Handle: RePEc:aub:autbar:748.08

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Related research
Keywords: Controlled stochastic environment; rational decision-maker; adaptive control; optimal path; feedback optimal strategy; endogenous risk-aversion; dynamic active learning.;

Find related papers by JEL classification:
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
C61 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Optimization Techniques; Programming Models; Dynamic Analysis
C91 - Mathematical and Quantitative Methods - - Design of Experiments - - - Laboratory, Individual Behavior
D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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