DOI10.1111/mafi.12232MaRDI QIDQ5855949
Frank Riedel, Qian Lin, Patrick Beissner
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 uncertainty; dynamic consistency; ambiguity attitude; alpha-maxmin expected utility
Mathematics Subject Classification ID
91B16: Utility theory
91G30: Interest rates, asset pricing, etc. (stochastic models)