Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/37035
Authors: 
Engelage, Daniel
Year of Publication: 
2009
Series/Report no.: 
Bonn econ discussion papers 2009,20
Abstract: 
We consider optimal stopping problems in uncertain environments for an agent assessing utility by virtue of dynamic variational preferences as in [15] or, equivalently, assessing risk by dynamic convex risk measures as in [4]. The solutionis achieved by generalizing the approach in [20]introducing the concept of variational super martingales and an accompanying theory. To illustrate results, we consider prominent examples: dynamic entropic risk measures and a dynamic version of generalized average value at riskintroduced in [5].
Subjects: 
Optimal Stopping
Uncertainty
Dynamic Variational Preferences
Dynamic Convex Risk Measures
Dynamic Penalty
Time-Consistency
Entropic Risk
Average Value at Risk
JEL: 
C61
C65
D81
Document Type: 
Working Paper

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