Dynamically consistent alpha‐maxmin expected utility
Dynamically consistent alpha‐maxmin expected utility
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DOI：
10.1111/mafi.12232
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发表时间：
2019-11
影响因子：
1.6
通讯作者：
Patrick Beissner;Qian Lin;F. Riedel
中科院分区：
文献类型：
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作者：
Patrick Beissner;Qian Lin;F. Riedel
alpha-maxmin模型是一个突出的例子，偏好下的不确定性，因为它允许区分歧义和歧义态度。这些偏好对于alpha的非平凡版本是动态不一致的。在本文中，我们推导出一个递归的，动态一致的alpha‐maxmin模型。在连续时间限制下，所得到的动态效用函数可以表示为最坏和最好情况之间的凸混合，但现在是在局部的无穷小水平上。
The alpha‐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 alpha. In this paper, we derive a recursive, dynamically consistent version of the alpha‐maxmin model. In the continuous‐time limit, the resulting dynamic utility function can be represented as a convex mixture between worst and best case, but now at the local, infinitesimal level.