Since Dostoevsky name-drops Don Quixote as one of the inspirations for Myshkin (check out the "In a Nutshell" section for his letter to his niece) it's not such a big shock that we get a reference to "the poor knight" somewhere in the novel. Now, it's true, when Aglaya decides to tease Myshkin with being "the poor knight," she's not really talking about Don Quixote. She's actually busting out her literary chops with a reference to an Alexander Pushkin poem.
But the idea is the same, since the poem is about a pretty quixotic knight. (Awesome word alert: "quixotic" is derived from Don Quixote, but it's pronounced "kwick-SO-tic.") In the poem, a "poor and simple" knight has a vision of the Virgin Mary, and then gives up all his bodily desires to go fight for the Church against infidels. Then he goes crazy. Yeah, it's safe to say Pushkin definitely brushed up on his Cervantes before writing that one.
For Aglaya, the nickname that starts as total mockery actually becomes a way of thinking about Myshkin in a new light. Check out the way the conversation about this phrase goes from joking to deadly serious here:
Kolya said, "[Aglaya, you were] turning over the pages of your Don Quixote, and suddenly called out 'there is nothing better than the poor knight.' [and] just now Prince S. and Adelaida Ivanovna declared that they upheld 'the poor knight'; so evidently there does exist a 'poor knight'; […]
[Mrs. Epanchin] began to see pretty clearly though what it meant, and whom they referred to by the generally accepted title of "poor knight." But what specially annoyed her was that the prince was looking so uncomfortable […]
"It's simply that there is a Russian poem," began Prince S., evidently anxious to change the conversation, "a strange thing, without beginning or end, and all about a 'poor knight.' A month or so ago, we were all talking and laughing, and looking up a subject for one of Adelaida's pictures—you know it is the principal business of this family to find subjects for Adelaida's pictures. Well, we happened upon this 'poor knight.' […] she declared that, in order to make a picture of the gentleman, she must first see his face. We then began to think over all our friends' faces to see if any of them would do, and none suited us, and so the matter stood; that's all. I don't know why Nicolai Ardalionovitch has brought up the joke now. What was appropriate and funny then, has quite lost all interest by this time."
"Probably there's some new silliness about it," said Mrs. Epanchin, sarcastically.
"There is no silliness about it at all—only the profoundest respect," said Aglaya, very seriously. (2.6.116-132)
Instead of a bumbling fool who is obsessed with a crazy woman, the prince is recast as a noble soul who is so devoted to an ideal that he gives up his life for it. Granted, this isn't really a recipe for success (at least not the losing one's marbles part), but it can shed some light on Myshkin's point of view for Aglaya. So what do you think—can you think of other characters that can be recast in this way?