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Optimal Feedback Control Rules Sensitive to Controlled Endogenous Risk-Aversion

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  • 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.

Suggested Citation

  • Dan Protopopescu, 2008. "Optimal Feedback Control Rules Sensitive to Controlled Endogenous Risk-Aversion," UFAE and IAE Working Papers 748.08, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), revised 03 Dec 2009.
  • Handle: RePEc:aub:autbar:748.08
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    More about this item

    Keywords

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

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - 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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