Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/201618 
Erscheinungsjahr: 
2017
Schriftenreihe/Nr.: 
Center for Mathematical Economics Working Papers No. 593
Verlag: 
Bielefeld University, Center for Mathematical Economics (IMW), Bielefeld
Zusammenfassung: 
The alpha-maxmin model is a prominent example of preferences under Knightian uncertainty as it allows to distinguish ambiguity and ambiguity attitude. These preferences are dynamically inconsistent for nontrivial versions of ». In this paper, we derive a recursive, dynamically consistent version of the »-maxmin model. In the continuous-time limit, the resulting dynamic utility function can be represented as a convex mixture between worst and best case, but now at the local, infinitesimal level. We study the properties of the utility function and provide an Arrow- Pratt approximation of the static and dynamic certainty equivalent. We derive a consumption-based capital asset pricing formula and study the implications for derivative valuation under indifference pricing.
Schlagwörter: 
Dynamic consistency
alpha-maxmin expected utility
Knightian uncertainty
ambiguity attitude
JEL: 
C60
D81
D90
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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