Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/43756
Authors: 
Bier, Monika
Engelage, Daniel
Year of Publication: 
2010
Series/Report no.: 
Working papers // Institute of Mathematical Economics 433
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
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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