Characterization of time-consistent sets of measures in finite trees

Monika Bier
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Monika Bier: Center for Mathematical Economics, Bielefeld University

No 434, Center for Mathematical Economics Working Papers from Center for Mathematical Economics, Bielefeld University

Abstract: In this paper we give an alternative characterization for time-consistent sets of measures in a discrete setting. For each measure \mathbb{P} in a time-consistent set \mathcal{P} we get a distinct set of predictable processes which in return decribe the \mathbb{P} uniquely. This implies we get a one-to-one correspondence between time-consistent sets of measures and sets of predictable processes with specific features.

Keywords: Uncertainty aversion; Time consistency; Ambiguity; Multiple priors (search for similar items in EconPapers)
Date: 2011-08-16
New Economics Papers: this item is included in nep-upt
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https://pub.uni-bielefeld.de/download/2316474/2319878 First Version, 2010 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:bie:wpaper:434

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