Hellmann, Tobias; Thijssen, Jacco - Institut für Mathematische Wirtschaftsforschung, … - 2015
player invests as if she were the exogenously appointed leader). Following the standard literature, the worst case prior for …. However, if the ambiguous player is the first mover, then the worst case prior can be given by either the lowest or the … highest trend in the set of priors. This novel result shows that “worst case prior” in a setting with geometric Brownian …