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Bonn Econ Discussion Papers, Bonn Graduate School of Economics (BGSE), Universität Bonn >
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http://hdl.handle.net/10419/38797
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| Title: | | Merging of opinions under uncertainty  |
| Authors: | | Bier, Monika Engelage, Daniel |
| Issue Date: | | 2010 |
| Series/Report no.: | | Bonn econ discussion papers 2010,11 |
| Abstract: | | We consider long-run behavior of agents assessing risk in terms of dynamic convex risk measures or, equivalently, utility in terms of dynamic variational preferences in an uncertain setting. By virtue of a robust representation, we show that all uncertainty is revealed in the limit and agents behave as expected utility maximizer under the true underlying distribution regardless of their initial risk anticipation. In particular, risk assessments of distinct agents converge. This result is a generalization of the fundamental Blackwell-Dubins Theorem, cp. [Blackwell & Dubins, 62], to convex risk. We furthermore show the result to hold in a non-time-consistent environment. |
| Subjects: | | Dynamic Convex Risk Measures Multiple Priors Uncertainty Robust Representation Time-Consistency Blackwell-Dubins |
| 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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