Optimal Stopping Under Probability Distortions

DOI10.1287/MOOR.2016.0828MaRDI QIDQ5359121zbMATH OpenOpenAlexFDO

Authors D. Belomestny, Volker Krätschmer

Publication date 22 September 2017

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/moor.2016.0828

zbMATH Keywords

average value-at-riskcoherent risk measuresoptimal stoppingtime-consistency

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Applications of statistics to actuarial sciences and financial mathematics (62P05) Decision theory (91B06) Financial applications of other theories (91G80)

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• scientific article; zbMATH DE number 934464

Cited in

(17)

• Computation of distorted probabilities for diffusion processes via stochastic control methods.
• Probability weighting, stop-loss and the disposition effect
• Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces
• Minimax theorems for American options without time-consistency
• Optimal stopping under probability distortion
• Behaviorally consistent optimal stopping rules
• Optimal stopping in a shock model
• Representations for optimal stopping under dynamic monetary utility functionals
• Optimality of myopic stopping times for geometric discounting
• Utility Maximization with Discretionary Stopping
• Time-consistent conditional expectation under probability distortion
• Risk-Averse Stochastic Programming: Time Consistency and Optimal Stopping
• General stopping behaviors of naïve and noncommitted sophisticated agents, with application to probability distortion
• Optimal stopping under uncertainty in drift and jump intensity
• Optimal stopping: Bermudan strategies meet non-linear evaluations
• Never stop or never start? Optimal stopping under a mixture of CPT and EUT preferences
• Characterisation of optimal dual measures via distortion

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