Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/37035
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dc.contributor.authorEngelage, Danielen_US
dc.date.accessioned2009-09-22en_US
dc.date.accessioned2010-07-29T10:08:54Z-
dc.date.available2010-07-29T10:08:54Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/37035-
dc.description.abstractWe 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.isoengen_US
dc.publisher|aGraduate School of Economics |cBonnen_US
dc.relation.ispartofseries|aBonn econ discussion papers |x2009,20en_US
dc.subject.jelC61en_US
dc.subject.jelC65en_US
dc.subject.jelD81en_US
dc.subject.ddc330en_US
dc.subject.keywordOptimal Stoppingen_US
dc.subject.keywordUncertaintyen_US
dc.subject.keywordDynamic Variational Preferencesen_US
dc.subject.keywordDynamic Convex Risk Measuresen_US
dc.subject.keywordDynamic Penaltyen_US
dc.subject.keywordTime-Consistencyen_US
dc.subject.keywordEntropic Risken_US
dc.subject.keywordAverage Value at Risken_US
dc.subject.stwEntscheidung bei Unsicherheiten_US
dc.subject.stwSuchtheorieen_US
dc.subject.stwPräferenztheorieen_US
dc.subject.stwValue at Risken_US
dc.subject.stwZeitökonomiken_US
dc.subject.stwTheorieen_US
dc.titleOptimal stopping with dynamic variational preferencesen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn609243411en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

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