Dynamically consistent alpha‐maxmin expected utility

DOI10.1111/mafi.12232OpenAlexW3123440930WikidataQ126786159 ScholiaQ126786159MaRDI QIDQ5855949

Patrick Beissner, Frank Riedel, Qian Lin

Publication date: 23 March 2021

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12232

zbMATH Keywords

Knightian uncertaintydynamic consistencyambiguity attitudealpha-maxmin expected utility

Mathematics Subject Classification ID

Utility theory (91B16) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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