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Dynamically Consistent α-Maxmin Expected Utility · Study

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PreprintDynamically Consistent α-Maxmin Expected Utility

Patrick Beißner2015

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Preprintgreen2015

Dynamically Consistent α-Maxmin Expected Utility

Patrick Beißner · Qian Lin · Frank Riedel

2 citations·0/0 files stored·SSRN Electronic Journal

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Decision-Making and Behavioral Economics Stochastic processes and financial applications Risk and Portfolio Optimization

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References

1989Maxmin expected utility with non-unique prior 1993Dynamic Asset Pricing Theory.1990Adapted solution of a backward stochastic differential equation 2002Ambiguity, Risk, and Asset Returns in Continuous Time 2004Differentiating ambiguity and ambiguity attitude 2003Recursive multiple-priors 1989Optimal replication of contingent claims under transaction costs 2007Choice under uncertainty with the best and worst in mind: Neo-additive capacities

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Details

Year2015

Typepreprint

Published2015-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations2

Files0 public / 0

ShelfDecision-Making and Behavioral Economics

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doi10.2139/ssrn.2562354

openalex_workW2275051167

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