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Bonn Econ Discussion Papers, Bonn Graduate School of Economics (BGSE), Universität Bonn >
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http://hdl.handle.net/10419/37035
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| Title: | | Optimal stopping with dynamic variational preferences  |
| Authors: | | Engelage, Daniel |
| Issue Date: | | 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 |
| Appears in Collections: | | Bonn Econ Discussion Papers, Bonn Graduate School of Economics (BGSE), Universität Bonn
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