Optimal Stopping with Dynamic Variational Preferences

Daniel Engelage

No 20/2009, Bonn Econ Discussion Papers from University of Bonn, Bonn Graduate School of Economics (BGSE)

Abstract: We consider optimal stopping problems in uncertain environments for an agent assessing utility by virtue of dynamic variational preferences or, equivalently, assessing risk by dynamic convex risk measures. The solution is achieved by generalizing the approach in terms of multiple priors introducing the concept of variational supermartingales and an accompanying theory. To illustrate results, we consider prominent examples: dynamic entropic risk measures and a dynamic version of generalized average value at risk.

Keywords: Optimal Stopping; Uncertainty; Dynamic Variational Preferences; Dynamic Convex Risk Measures; Dynamic Penalty; Time-Consistency; Entropic Risk; Average Value at Risk (search for similar items in EconPapers)
JEL-codes: C61 C65 D81 (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/37035/1/609243411.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:bonedp:202009

Access Statistics for this paper

More papers in Bonn Econ Discussion Papers from University of Bonn, Bonn Graduate School of Economics (BGSE) Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().