Optimal stopping with dynamic variational preferences

DOI10.1016/j.jet.2011.06.014zbMath1276.60049OpenAlexW2072015828MaRDI QIDQ643275

Daniel Engelage

Publication date: 28 October 2011

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/37035

zbMATH Keywords

optimal stoppinguncertainty aversiontime consistencyaverage value at riskdynamic convex risk measuresdynamic penaltydynamic variational preferencesentropic riskmultiplier preferences

Mathematics Subject Classification ID

Utility theory (91B16) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Related Items (3)

Multiple-prior valuation of cash flows subject to capital requirements ⋮ Dynamic systems based on preference graph and distance ⋮ Approaches to multistage one-shot decision making

Uses Software

• QRM

Cites Work

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