Dynamically consistent alpha‐maxmin expected utility
نویسندگان
چکیده
منابع مشابه
Dynamically Consistent α–Maxmin Expected Utility∗
The α–maxmin model is a prominent example of preferences under Knightian uncertainty as it allows to distinguish ambiguity and ambiguity attitude. These preferences are dynamically inconsistent for nontrivial versions of α. In this paper, we derive a recursive, dynamically consistent version of the α–maxmin model. In the continuous–time limit, the resulting dynamic utility function can be repre...
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ژورنال
عنوان ژورنال: Mathematical Finance
سال: 2019
ISSN: 0960-1627,1467-9965
DOI: 10.1111/mafi.12232