Characterization of Time-Consistent Sets of Measures in Finite Trees

In this paper we give an alternative characterization for time-consistent sets of measures in a discrete setting. For each measure p in a time-consistent set P we get a distinct set of predictable processes which in return describe the p uniquely. This implies we get a one-to-one correspondence between time-consistent sets of measures and sets of predictable processes with specifc features.

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Year of publication:	2010-05
Authors:	Bier, Monika
Institutions:	Institut für Mathematische Wirtschaftsforschung, Universität Bielefeld
Subject:	Multiple Priors \| Time-Consistency \| Ambiguity \| Uncertainty Aversion

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 434 21 pages
Classification:	D81 - Criteria for Decision-Making under Risk and Uncertainty
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008494095