Dynamic consistent α-Maxmin expected utility

Beißner P, Lin Q (2015) Center for Mathematical Economics Working Papers; 535.
Bielefeld: Center for Mathematical Economics.

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Abstract
We establish a class of fully nonlinear conditional expectations. Similarly to the usage of linear expectations when a probabilistic description of uncertainty is present, we observe analogue quantitative and qualitative properties. The type of nonlinearity captures the agents sentiments of optimism and pessimism in an ambiguous environment. We then introduce an expected utility under a nonlinear expectation, and show monotonicity and continuity of utility. Risk aversion is characterized, and the properties of the certainty equivalent are discussed. Finally, we derive an Arrow-Pratt approximation of the static certainty equivalent and investigate the dynamic version via recursive equations.
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Beißner P, Lin Q. Dynamic consistent α-Maxmin expected utility. Center for Mathematical Economics Working Papers. Vol 535. Bielefeld: Center for Mathematical Economics; 2015.
Beißner, P., & Lin, Q. (2015). Dynamic consistent α-Maxmin expected utility (Center for Mathematical Economics Working Papers, 535). Bielefeld: Center for Mathematical Economics.
Beißner, P., and Lin, Q. (2015). Dynamic consistent α-Maxmin expected utility. Center for Mathematical Economics Working Papers, 535, Bielefeld: Center for Mathematical Economics.
Beißner, P., & Lin, Q., 2015. Dynamic consistent α-Maxmin expected utility, Center for Mathematical Economics Working Papers, no.535, Bielefeld: Center for Mathematical Economics.
P. Beißner and Q. Lin, Dynamic consistent α-Maxmin expected utility, Center for Mathematical Economics Working Papers, vol. 535, Bielefeld: Center for Mathematical Economics, 2015.
Beißner, P., Lin, Q.: Dynamic consistent α-Maxmin expected utility. Center for Mathematical Economics Working Papers, 535. Center for Mathematical Economics, Bielefeld (2015).
Beißner, Patrick, and Lin, Qian. Dynamic consistent α-Maxmin expected utility. Bielefeld: Center for Mathematical Economics, 2015. Center for Mathematical Economics Working Papers. 535.
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