Merging of Opinions under Uncertainty

Arbeitspapier

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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Bonn Econ Discussion Papers ; No. 11/2010

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Optimization Techniques; Programming Models; Dynamic Analysis ; Miscellaneous Mathematical Tools ; Criteria for Decision-Making under Risk and Uncertainty
• Thema: Dynamic Convex Risk Measures ; Multiple Priors ; Uncertainty ; Robust Representation ; Time-Consistency ; Blackwell-Dubins ; Risikopräferenz ; Erwartungstheorie ; Entscheidung bei Unsicherheit ; Zeitkonsistenz ; Erwartungsnutzen ; Theorie

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Bier, Monika ; Engelage, Daniel
• Ereignis: Veröffentlichung
• (wer): University of Bonn, Bonn Graduate School of Economics (BGSE)
• (wo): Bonn
• (wann): 2010

Weitere Informationen

• Handle: http://hdl.handle.net/10419/38797
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ