Similar Search Results

Price level versus inflation targeting under model uncertainty

Cateau, Gino (contributor) - 2008

The purpose of this paper is to make a quantitative contribution to the inflation versus price level targeting debate. It considers a policy-maker that can set policy either through an inflation targeting rule or a price level targeting rule to minimize a quadratic loss function using the actual...

Persistent link: https://www.econbiz.de/10003711691

Merging of opinions under uncertainty

Bier, Monika; Engelage, Daniel - 2010

We consider long-run behavior of agents assessing risk in terms of dynamic convex risk measures or, equivalently, utility in terms of dynamic variational preferences in an uncertain setting. By virtue of a robust representation, we show that all uncertainty is revealed in the limit and agents...

Persistent link: https://www.econbiz.de/10003980912

Characterization of time-consistent sets of measures in finite trees

Bier, Monika - 2010

In this paper we give an alternative characterization for time-consistent sets of measures in a discrete setting. For each measure \mathbb{P} in a time-consistent set \mathcal{P} we get a distinct set of predictable processes which in return decribe the \mathbb{P} uniquely. This implies we get a...

Persistent link: https://www.econbiz.de/10003980916

What is the best environmental policy? : taxes, permits and rules under economic and environmental uncertainty

Angelopulos, Kōnstantinos I.; Oikonomidēs, Geōrgios; … - 2010

We study the importance of uncertainty and public finance to the welfare ranking of three environmental policy instruments: pollution taxes, pollution permits and Kyoto-like numerical rules for emissions. The setup is the basic stochastic neoclassical growth model augmented with the assumptions...

Persistent link: https://www.econbiz.de/10003942680

Ambiguous act equilibria

Bade, Sophie - 2010

A game-theoretic framework that allows for explicitly randomized strategies is used to study the effect of ambiguity aversion on equilibrium outcomes. The notions of "independent strategies" as well as of "common priors" are amended to render them applicable to games in which players lack...

Persistent link: https://www.econbiz.de/10003947388

Exercise strategies for American exotic options under ambiguity

Chudjakow, Tatjana; Vorbrink, Jörg - 2009

We analyze several exotic options of American style in a multiple prior setting and study the optimal exercise strategy from the perspective of an ambiguity averse buyer in a discrete time model of Cox-Ross-Rubinstein style. The multiple prior model relaxes the assumption of a known distribution...

Persistent link: https://www.econbiz.de/10003921365

Mathematical basis of quantum decision theory

Jukalov, Vjačeslav I.; Sornette, Didier - 2008

One of the most complex systems is the human brain whose formalized functioning is characterized by decision theory. We … present a quot;Quantum Decision Theoryquot; of decision making, based on the mathematical theory of separable Hilbert spaces … the decision making of real human beings. The theory describes entangled decision making, non-commutativity of subsequent …

Persistent link: https://www.econbiz.de/10003962110

Optimal stopping under ambiguity in continuous time

Riedel, Frank - 2010

We develop a theory of optimal stopping problems under ambiguity in continuous time. Using results from (backward …

Persistent link: https://www.econbiz.de/10003964862

"Reverse Bayesianism" : a choice-based theory of growing awareness

Karni, Edi; Vierø, Marie-Louise - 2012

This paper invokes the axiomatic approach to explore the notion of growing awareness in the context of decision making under uncertainty. It introduces a new approach to modeling the expanding universe of a decision maker in the wake of becoming aware of new consequences, new acts, and new links...

Persistent link: https://www.econbiz.de/10009511743

Rules vs. targets : climate treaties under uncertainty

Gersbach, Hans; Oberpriller, Quirin - 2012 - This version: April 2012

We demonstrate the advantages of a climate treaty based solely on rules for international permit markets when there is uncertainty about abatement costs and environmental damages. Such a ‘Rules Treaty’ comprises a scaling factor and a refunding rule. Each signatory can freely choose the...

Persistent link: https://www.econbiz.de/10009552905