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In: Journal of economic dynamics & control, Band 37, Heft 1, S. 18-31
ISSN: 0165-1889
In: Journal of economic dynamics & control, Band 146, S. 104572
ISSN: 0165-1889
In: Journal of economic dynamics & control, Band 94, S. 89-116
ISSN: 0165-1889
In: Journal of economic dynamics & control, Band 75, S. 91-113
ISSN: 0165-1889
In: Mathematical Finance, Band 27, Heft 2, S. 471-504
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In: Journal of economic dynamics & control, Band 61, S. 283-302
ISSN: 0165-1889
In: Journal of economic dynamics & control, Band 48, S. 1-25
ISSN: 0165-1889
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Working paper
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Working paper
In: Accepted by IEEE Transactions on Automatic Control, Forthcoming
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In: Journal of multi-criteria decision analysis, Band 18, Heft 1-2, S. 143-149
ISSN: 1099-1360
ABSTRACTWhen the conditions for applying Bellman's principle of optimality hold, the pre‐committed optimal policy derived by dynamic programming at initial time is time consistent, that is, the policy remains to be optimal for any state resulted in at later stages. In multi‐objective optimization with a general separable structure, the pre‐committed optimal policy derived by multi‐objective dynamic programming is time‐consistent in efficiency, that is, the policy derived at initial time remains to be efficient for any possible state at later stages, albeit not time‐consistent in general. However, when a multi‐objective dynamic optimization problem is not separable in the sense of multi‐objective dynamic programming, the derived pre‐committed policy is not time‐consistent in efficiency, as witnessed in the multi‐period mean‐variance portfolio selection problem studied in this paper, thus leading to some irrational decision behaviours. This revealed phenomenon recognizes the importance of the time consistency issue and calls our attentions to construct more suitable decision criteria in multi‐objective optimization. Copyright © 2011 John Wiley & Sons, Ltd.
In: The quarterly review of economics and finance, Band 50, Heft 2, S. 167-179
ISSN: 1062-9769
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