Optimal stopping with dynamic variational preferences |
| |
Authors: | Daniel Engelage |
| |
Institution: | Bonn Graduate School of Economics, BGSE, Bonn University, Germany |
| |
Abstract: | We solve optimal stopping problems in uncertain environments for agents assessing utility by virtue of dynamic variational preferences as in Maccheroni, Marinacci and Rustichini (2006) 16] or, equivalently, assessing risk in terms of dynamic convex risk measures as in Cheridito, Delbaen and Kupper (2006) 4]. The solution is achieved by generalizing the approach in Riedel (2009) 21] introducing the concept of variational supermartingales and variational Snell envelopes with an accompanying theory. To illustrate results, we consider prominent examples: dynamic multiplier preferences and a dynamic version of generalized average value at risk introduced in Cheridito and Tianhui (2009) 5]. |
| |
Keywords: | JEL classification: C61 C65 D81 |
本文献已被 ScienceDirect 等数据库收录! |
|