Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/43756 
Erscheinungsjahr: 
2010
Schriftenreihe/Nr.: 
Working Papers No. 433
Verlag: 
Bielefeld University, Institute of Mathematical Economics (IMW), Bielefeld
Zusammenfassung: 
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.
Schlagwörter: 
Dynamic Convex Risk Measures
Multiple Priors
Uncertainty
Robust Representation
Time-Consistency
Blackwell-Dubins
JEL: 
C61
C65
D81
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
344.23 kB





Publikationen in EconStor sind urheberrechtlich geschützt.