Merging of opinions under uncertainty

Bier M, Engelage D (2010) Working Papers. Institute of Mathematical Economics; 433.
Bielefeld: Universität Bielefeld.

Diskussionspapier | Veröffentlicht | Englisch
 
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Abstract / Bemerkung
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.
Stichworte
Time consistency; Blackwell-Dubins; Multiple priors; Dynamic convex risk measures; Robust representation; Uncertainty
Erscheinungsjahr
2010
Band
433
ISSN
0931-6558
Page URI
https://pub.uni-bielefeld.de/record/2316465

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Bier M, Engelage D. Merging of opinions under uncertainty. Working Papers. Institute of Mathematical Economics. Vol 433. Bielefeld: Universität Bielefeld; 2010.
Bier, M., & Engelage, D. (2010). Merging of opinions under uncertainty (Working Papers. Institute of Mathematical Economics, 433). Bielefeld: Universität Bielefeld.
Bier, M., and Engelage, D. (2010). Merging of opinions under uncertainty. Working Papers. Institute of Mathematical Economics, 433, Bielefeld: Universität Bielefeld.
Bier, M., & Engelage, D., 2010. Merging of opinions under uncertainty, Working Papers. Institute of Mathematical Economics, no.433, Bielefeld: Universität Bielefeld.
M. Bier and D. Engelage, Merging of opinions under uncertainty, Working Papers. Institute of Mathematical Economics, vol. 433, Bielefeld: Universität Bielefeld, 2010.
Bier, M., Engelage, D.: Merging of opinions under uncertainty. Working Papers. Institute of Mathematical Economics, 433. Universität Bielefeld, Bielefeld (2010).
Bier, Monika, and Engelage, Daniel. Merging of opinions under uncertainty. Bielefeld: Universität Bielefeld, 2010. Working Papers. Institute of Mathematical Economics. 433.
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2019-09-06T08:57:54Z
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