Robust Maximum Detection: Full Information Best Choice Problem under Multiple Priors
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Riedel, Frank, 2004.
"Dynamic coherent risk measures,"
Stochastic Processes and their Applications, Elsevier, vol. 112(2), pages 185-200, August.
- Frank Riedel, 2003. "Dynamic Coherent Risk Measures," Working Papers 03004, Stanford University, Department of Economics.
- Frank Riedel, 2009. "Optimal Stopping With Multiple Priors," Econometrica, Econometric Society, vol. 77(3), pages 857-908, May.
- Tatjana Chudjakow & Frank Riedel, 2013.
"The best choice problem under ambiguity,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 54(1), pages 77-97, September.
- Chudjakow, Tatjana & Riedel, Frank, 2010. "The Best Choice Problem under Ambiguity," Center for Mathematical Economics Working Papers 413, Center for Mathematical Economics, Bielefeld University.
- Lippman, Steven A & McCall, John J, 1976. "The Economics of Job Search: A Survey," Economic Inquiry, Western Economic Association International, vol. 14(3), pages 347-368, September.
- Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
- Lippman, Steven A & McCall, John J, 1976. "The Economics of Job Search: A Survey: Part I," Economic Inquiry, Western Economic Association International, vol. 14(2), pages 155-189, June.
- Gilboa, Itzhak & Schmeidler, David, 1989.
"Maxmin expected utility with non-unique prior,"
Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April.
- Gilboa, Itzhak & Schmeidler, David, 1986. "Maxmin Expected Utility with a Non-Unique Prior," Foerder Institute for Economic Research Working Papers 275405, Tel-Aviv University > Foerder Institute for Economic Research.
- Itzhak Gilboa & David Schmeidler, 1989. "Maxmin Expected Utility with Non-Unique Prior," Post-Print hal-00753237, HAL.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Lazar Obradović, 2020. "Robust best choice problem," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 92(3), pages 435-460, December.
- Volker Krätschmer & Marcel Ladkau & Roger J. A. Laeven & John G. M. Schoenmakers & Mitja Stadje, 2018. "Optimal Stopping Under Uncertainty in Drift and Jump Intensity," Mathematics of Operations Research, INFORMS, vol. 43(4), pages 1177-1209, November.
- Ji, Ronglin & Shi, Xuejun & Wang, Shijie & Zhou, Jinming, 2019. "Dynamic risk measures for processes via backward stochastic differential equations," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 43-50.
- Qian Lin & Frank Riedel, 2021. "Optimal consumption and portfolio choice with ambiguous interest rates and volatility," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 71(3), pages 1189-1202, April.
- Patrick Bei{ss}ner, 2012. "Coherent Price Systems and Uncertainty-Neutral Valuation," Papers 1202.6632, arXiv.org.
- Dan A. Iancu & Marek Petrik & Dharmashankar Subramanian, 2015. "Tight Approximations of Dynamic Risk Measures," Mathematics of Operations Research, INFORMS, vol. 40(3), pages 655-682, March.
- Acciaio, Beatrice & Föllmer, Hans & Penner, Irina, 2012. "Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles," LSE Research Online Documents on Economics 50118, London School of Economics and Political Science, LSE Library.
- Yi Shen & Zachary Van Oosten & Ruodu Wang, 2024. "Partial Law Invariance and Risk Measures," Papers 2401.17265, arXiv.org, revised Dec 2024.
- Beißner, Patrick, 2013.
"Coherent Price Systems and Uncertainty-Neutral Valuation,"
VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order
80010, Verein für Socialpolitik / German Economic Association.
- Beißner, Patrick, 2014. "Coherent price systems and uncertainty-neutral valuation," Center for Mathematical Economics Working Papers 464, Center for Mathematical Economics, Bielefeld University.
- Berend Roorda & J. M. Schumacher & Jacob Engwerda, 2005. "Coherent Acceptability Measures In Multiperiod Models," Mathematical Finance, Wiley Blackwell, vol. 15(4), pages 589-612, October.
- Vorbrink, Jörg, 2014. "Financial markets with volatility uncertainty," Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 64-78.
- Romain Blanchard & Laurence Carassus, 2017. "Convergence of utility indifference prices to the superreplication price in a multiple-priors framework," Papers 1709.09465, arXiv.org, revised Oct 2020.
- Andreas H Hamel, 2018. "Monetary Measures of Risk," Papers 1812.04354, arXiv.org.
- Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel & Heras, Antonio, 2015. "Optimal reinsurance under risk and uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 60(C), pages 61-74.
- Samuel N. Cohen & Tanut Treetanthiploet, 2019. "Gittins' theorem under uncertainty," Papers 1907.05689, arXiv.org, revised Jun 2021.
- Daniel Bartl, 2016. "Conditional nonlinear expectations," Papers 1612.09103, arXiv.org, revised Mar 2019.
- Dilip B. Madan, 2016. "Benchmarking in two price financial markets," Annals of Finance, Springer, vol. 12(2), pages 201-219, May.
- repec:diw:diwwpp:dp1228 is not listed on IDEAS
- Daniel, Engelage, 2011. "Optimal stopping with dynamic variational preferences," Journal of Economic Theory, Elsevier, vol. 146(5), pages 2042-2074, September.
- Beatrice Acciaio & Hans Föllmer & Irina Penner, 2012. "Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles," Finance and Stochastics, Springer, vol. 16(4), pages 669-709, October.
- Balbás, Beatriz & Balbás, Raquel & Rodríguez de las Heras Pérez, Antonio, 2014. "Optimal reinsurance under risk and uncertainty," IC3JM - Estudios = Working Papers id-14-04, Instituto Mixto Carlos III - Juan March de Ciencias Sociales (IC3JM).
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bie:wpaper:580. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Bettina Weingarten (email available below). General contact details of provider: https://edirc.repec.org/data/imbiede.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.