Dynamically consistent alpha-maxmin expected utility
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Publication:5855949
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- 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
- Robust \(\alpha \)-maxmin representations
- Equilibrium multi-agent model with heterogeneous views on fundamental risks
- Dynamic consistency implies approximately expected utility preferences
- 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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