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Rheinische Friedrich-Wilhelms-Universität Bonn >
Bonn Graduate School of Economics (BGSE), Universität Bonn >
Bonn Econ Discussion Papers, Bonn Graduate School of Economics (BGSE), Universität Bonn >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/37035
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Engelage, Daniel | | en_US |
| dc.date.accessioned | | 2009-09-22 | | en_US |
| dc.date.accessioned | | 2010-07-29T10:08:54Z | | - |
| dc.date.available | | 2010-07-29T10:08:54Z | | - |
| dc.date.issued | | 2009 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/37035 | | - |
| dc.description.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]. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Graduate School of Economics Bonn | | en_US |
| dc.relation.ispartofseries | | Bonn econ discussion papers 2009,20 | | en_US |
| dc.subject.jel | | C61 | | en_US |
| dc.subject.jel | | C65 | | en_US |
| dc.subject.jel | | D81 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Optimal Stopping | | en_US |
| dc.subject.keyword | | Uncertainty | | en_US |
| dc.subject.keyword | | Dynamic Variational Preferences | | en_US |
| dc.subject.keyword | | Dynamic Convex Risk Measures | | en_US |
| dc.subject.keyword | | Dynamic Penalty | | en_US |
| dc.subject.keyword | | Time-Consistency | | en_US |
| dc.subject.keyword | | Entropic Risk | | en_US |
| dc.subject.keyword | | Average Value at Risk | | en_US |
| dc.subject.stw | | Entscheidung bei Unsicherheit | | en_US |
| dc.subject.stw | | Suchtheorie | | en_US |
| dc.subject.stw | | Präferenztheorie | | en_US |
| dc.subject.stw | | Value at Risk | | en_US |
| dc.subject.stw | | Zeitökonomik | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | Optimal stopping with dynamic variational preferences | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 609243411 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | Bonn Econ Discussion Papers, Bonn Graduate School of Economics (BGSE), Universität Bonn
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