Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/37035 
Year of Publication: 
2009
Series/Report no.: 
Bonn Econ Discussion Papers No. 20/2009
Publisher: 
University of Bonn, Bonn Graduate School of Economics (BGSE), Bonn
Abstract: 
We consider optimal stopping problems in uncertain environments for an agent assessing utility by virtue of dynamic variational preferences or, equivalently, assessing risk by dynamic convex risk measures. The solution is achieved by generalizing the approach in terms of multiple priors introducing the concept of variational supermartingales and an accompanying theory. To illustrate results, we consider prominent examples: dynamic entropic risk measures and a dynamic version of generalized average value at risk.
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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