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Dynamically Consistent α-Maxmin Expected Utility
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
A Consumption-Based CAPM with Mild Optimism
Application to Indifference Pricing
Conclusion
Backward stochastic differential equations
Properties of Equation (5)
Proofs
Arbeitspapier
Dynamically Consistent α-Maxmin Expected Utility
Entstehung
2017
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