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Merging of opinions under uncertainty

Author

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  • Bier, Monika

    (Center for Mathematical Economics, Bielefeld University)

  • Engelage, Daniel

    (Center for Mathematical Economics, Bielefeld University)

Abstract

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 behave as expected utility maximizer under the true underlying distribution regardless of their initial risk anticipation. In particular, risk assessments of distinct agents converge. This result is a generalization of the fundamental Blackwell-Dubins Theorem, cp. [Blackwell & Dubins, 62], to convex risk. We furthermore show the result to hold in a non-time-consistent environment.

Suggested Citation

  • Bier, Monika & Engelage, Daniel, 2011. "Merging of opinions under uncertainty," Center for Mathematical Economics Working Papers 433, Center for Mathematical Economics, Bielefeld University.
    • Handle: RePEc:bie:wpaper:433
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Time consistency; Blackwell-Dubins; Multiple priors; Dynamic convex risk measures; Robust representation; Uncertainty;
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