The purpose of this book is to present an overview of, and introduction to, the time-
inconsistent control theory developed by the authors during the last decade. The theory is …

We develop a theory for continuous-time non-Markovian stochastic control problems which
are inherently time-inconsistent. Their distinguishing feature is that the classical Bellman …

Time inconsistency is prevalent in dynamic choice problems: a plan of actions to be taken in
the future that is optimal for an agent today may not be optimal for the same agent in the …

We study discrete‐time predictable forward processes when trading times do not coincide
with performance evaluation times in a binomial tree model for the financial market. The key …

This paper explicitly derives the optimal dynamic consumption and portfolio choice of an
individual with prospect theory preferences. The individual is loss averse, endogenously …

Optimal investment strategies of an individual worker during the accumulation phase in the
defined contribution pension scheme have been well studied in the literature. Most of them …

We study the implications of various models of partially endogenous reference point
formation on optimal decision making in the context of portfolio optimization under loss …

We introduce a new approach for optimal portfolio choice under model ambiguity by
incorporating predictable forward preferences in the framework of Angoshtari et al.[2]. The …

By applying the principle of equivalent forward preferences, this paper revisits the pricing
and hedging problems for equity-linked life insurance contracts. The equity-linked …

We establish existence of Predictable Forward Performance Processes (PFPPs) in complete
markets, which has been previously shown only in the binomial setting. Our market model …