Merging of opinions under uncertainty

Monika Bier and Daniel Engelage
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Monika Bier: Center for Mathematical Economics, Bielefeld University
Daniel Engelage: Center for Mathematical Economics, Bielefeld University

No 433, Center for Mathematical Economics Working Papers from Center for Mathematical Economics, Bielefeld University

Abstract: 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.

Keywords: Time consistency; Blackwell-Dubins; Multiple priors; Dynamic convex risk measures; Robust representation; Uncertainty (search for similar items in EconPapers)
Date: 2011-08-16
New Economics Papers: this item is included in nep-upt
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Persistent link: https://EconPapers.repec.org/RePEc:bie:wpaper:433

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