Beißner, Patrick; Lin, Qian; Riedel, Frank: Dynamically Consistent α-Maxmin Expected Utility. In: . Jg.593. 2017, S. 25 ff.
Inhalt
- text593
- Introduction
- Dynamic Inconsistency of –maxmin Utility
- Recursive –maxmin utility and its Continuous–Time Limit
- General Setup in Continuous Time
- Recursive -maxmin utility in discrete time
- Continuous-Time Limit of -maxmin utility
- Properties of Recursive –maxmin Expected Utility and the Certainty Equivalent
- Applications to Dynamic Asset Pricing
- Conclusion
- Backward stochastic differential equations
- Properties of Equation (5)
- Proofs