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Optimal stopping with dynamic variational preferences
Engelage, Daniel - 2009
generalized average value at riskintroduced in [5]. -- Optimal Stopping ; Uncertainty ; Dynamic Variational Preferences ; Dynamic …
Persistent link: https://www.econbiz.de/10003878489
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Aeromedical Battlefield Evacuation Under Endogenous Uncertainty in Casualty Delivery Times
Lejeune, Miguel; Margot, Francois - 2018
We propose a new medical evacuation (MEDEVAC) model with endogenous uncertainty in the casualty delivery times. The … endogenous source of uncertainty since it is contingent on the locations of MTFs. The MEDEVAC model is an MINLP problem whose …
Persistent link: https://www.econbiz.de/10014124132
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Initial Public Offerings Under Ambiguity
Izhakian, Yehuda (Yud) - 2014
The new issues market is used to examine the impact of ambiguity and ambiguity aversion on the pricing of financial assets. An IPO process is modeled assuming ambiguity regarding the returns on financial assets and risk and ambiguity aversion on the part of agents. Theoretically, the underwriter...
Persistent link: https://www.econbiz.de/10013057063
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Group Representations for Decision Making under Risk and Uncertainty
Charles-Cadogan, G. - 2012
This paper extends decision making under risk and uncertainty to group theory via representations of invariant …
Persistent link: https://www.econbiz.de/10013096459
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Investment Decisions with Two-Factor Uncertainty
Compernolle, Tine - 2018
This paper considers investment problems in real options with non-homogeneous two-factor uncertainty. It shows that …
Persistent link: https://www.econbiz.de/10012928025
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Merging of opinions under uncertainty
Bier, Monika; Engelage, Daniel - 2010
that all uncertainty is revealed in the limit and agents behave as expected utility maximizer under the true underlying … ; Uncertainty ; Robust Representation ; Time-Consistency ; Blackwell-Dubins …
Persistent link: https://www.econbiz.de/10003980912
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Merging of opinions under uncertainty
Bier, Monika; Engelage, Daniel - 2010
that all uncertainty is revealed in the limit and agents behave as expected utility maximizer under the true underlying … ; Uncertainty ; Robust Representation ; Time-Consistency ; Blackwell-Dubins …
Persistent link: https://www.econbiz.de/10003966953
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Uncertainty over uncertainty in environmental policy adoption : Bayesian larning of unpredictable socioeconomic costs
Basei, Matteo; Ferrari, Giorgio; Rodosthenous, Neofytos - 2023
The socioeconomic impact of pollution naturally comes with uncertainty due to, e.g., current new technological … scenario will be realised and the scientific debate is still open. This paper captures those two layers of uncertainty by …
Persistent link: https://www.econbiz.de/10014277005
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Ambiguity in a real option game
Hellmann, Tobias; Thijssen, Jacco J. J. - 2015
In this paper we study a two-player investment game with a first mover advantage in continuous time with stochastic payoffs, driven by a geometric Brownian motion. One of the players is assumed to be ambiguous with maxmin preferences over a strongly rectangular set of priors. We develop a...
Persistent link: https://www.econbiz.de/10010468336
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Consumption of durable goods under ambiguity
Moreno, Othón M. - 2014
with infinite horizon. Uncertainty comes from prices, which is summarized in a state variable that follows a Brownian …
Persistent link: https://www.econbiz.de/10010243419