Dynamically consistent alpha-maxmin expected utility
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Publication:5855949
DOI10.1111/MAFI.12232OpenAlexW3123440930WikidataQ126786159 ScholiaQ126786159MaRDI QIDQ5855949FDOQ5855949
Patrick Beissner, Frank Riedel, Qian Lin
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
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Cited In (16)
- Portfolio selection with parameter uncertainty under \(\alpha\) maxmin mean-variance criterion
- An \(\alpha\)-maxmin utility representation for close and distant future preferences with temporal biases
- Equilibrium investment with random risk aversion
- Brownian equilibria under Knightian uncertainty
- Alpha-maxmin as an aggregation of two selves
- Stochastic representation under \(g\)-expectation and applications: the discrete time case
- Optimal stopping under model ambiguity: A time‐consistent equilibrium approach
- The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time
- Equilibrium multi-agent model with heterogeneous views on fundamental risks
- Dynamic consistency implies approximately expected utility preferences
- Who Are I: Time Inconsistency and Intrapersonal Conflict and Reconciliation
- Ambiguous price formation
- Optimal reinsurance under the \(\alpha\)-maxmin mean-variance criterion
- A dynamic foundation of the Rawlsian maxmin criterion
- Conditional expected utility
- Objective rationality foundations for (dynamic) \(\alpha\)-MEU
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