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Optimal Stopping with Dynamic Variational Preferences

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  • Daniel Engelage

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    Abstract

    We consider optimal stopping problems in uncertain environments for an agent assessing utility by virtue of dynamic variational preferences or, equivalently, assessing risk by dynamic convex risk measures. The solution is achieved by generalizing the approach in terms of multiple priors introducing the concept of variational supermartingales and an accompanying theory. To illustrate results, we consider prominent examples: dynamic entropic risk measures and a dynamic version of generalized average value at risk.

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    File URL: http://www.wiwi.uni-bonn.de/bgsepapers/bonedp/bgse20_2009.pdf
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    Bibliographic Info

    Paper provided by University of Bonn, Germany in its series Bonn Econ Discussion Papers with number bgse20_2009.

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    Length: 41
    Date of creation: Aug 2009
    Date of revision:
    Handle: RePEc:bon:bonedp:bgse20_2009

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    Postal: Bonn Graduate School of Economics, University of Bonn, Adenauerallee 24 - 26, 53113 Bonn, Germany
    Fax: +49 228 73 6884
    Web page: http://www.bgse.uni-bonn.de

    Related research

    Keywords: optimal Stopping; Uncertainty; Dynamic Variational Preferences; Dynamic Convex Risk Measures; Dynamic Penalty; Time-Consistency; Entropic Risk; Average Value at Risk;

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