Template-Type: ReDIF-Paper 1.0
Title: Optimal Stopping with Dynamic Variational Preferences
Author-Name: Daniel Engelage
Author-Email: daniel.engelage@uni-bonn.de
Classification-JEL: C61, C65, D81
Keywords: optimal Stopping, Uncertainty, Dynamic Variational Preferences,
 	Dynamic Convex Risk Measures, Dynamic Penalty, Time-Consistency, Entropic Risk, Average Value at Risk
Abstract: We consider optimal stopping problems in uncertain
	 environments for an agent assessing utility by virtue of
	 dynamic variational preferences or, equivalently, assessing
	 risk by dynamic convex risk measures. The solution is achieved
	 by generalizing the approach in terms of multiple priors 
	 introducing the concept of variational supermartingales and an
	 accompanying theory. To illustrate results, we consider prominent
	 examples: dynamic entropic risk measures and a dynamic version of
	 generalized average value at risk.
Note: 
Length: 41
Creation-Date: 2009-08
Revision-Date: 
File-URL: http://www.wiwi.uni-bonn.de/bgsepapers/bonedp/bgse20_2009.pdf
File-Format: application/pdf
Handle: RePEc:bon:bonedp:bgse20_2009