Showing 1 - 10 of 1,377
This paper studies sequential information acquisition by an ambiguity-averse decision maker (DM), who decides how long … updates prior by prior. We show that the consideration of ambiguity gives rise to rich dynamics: compared to the Bayesian DM …
Persistent link: https://www.econbiz.de/10013365655
models featuring smooth ambiguity preferences. We rely on semi-nonparametric estimation of a flexible auxiliary model in our … pricing models with smooth ambiguity. Statistical model comparison shows that models with ambiguity, learning and time …
Persistent link: https://www.econbiz.de/10011780610
A continuous-time sequential job search model with savings and CARA preferences is solved analytically without resorting to unlimited borrowing and real-valued consumption. I isolate the effects of limited borrowing and nonnegative consumption as well as risk-aversion on the reservation wage by...
Persistent link: https://www.econbiz.de/10003951742
We develop a theory of optimal stopping problems under ambiguity in continuous time. Using results from (backward … from the agent's ambiguity aversion. We show how to use these general results for search problems and American Options …. -- Optimal stopping ; Ambiguity ; Uncertainty aversion ; Robustness ; Continuous time ; Optimal control …
Persistent link: https://www.econbiz.de/10003964862
from the perspective of an ambiguity averse buyer in a discrete time model of Cox-Ross-Rubinstein style. The multiple prior … maker needs to solve a stopping problem. Unlike the classical approach ambiguity averse decision maker uses a class of …-driven claims. -- Worst-case measure ; Ambiguity aversion ; Binomial methods ; American exotic options ; Optimal exercise …
Persistent link: https://www.econbiz.de/10003921365
strategies form the perspective of an ambiguity averse buyer. The multiple prior setting relaxes the presumption of a known …
Persistent link: https://www.econbiz.de/10008990920
We consider optimal stopping problems for ambiguity averse decision makers with multiple priors. In general, backward …). -- Optimal stopping ; Ambiguity ; Uncertainty aversion …
Persistent link: https://www.econbiz.de/10003731193
An ambiguity averse decision-maker contemplates investment of a fixed size capital into a project with a stochastic …
Persistent link: https://www.econbiz.de/10013045142
A micro decision-making utility model under uncertainty is presented as a complementary foundation for macro coronavirus models. The micro model consists of two functions, a risk averse utility function depending on wellness and a wellness random output which is a function of the input variable...
Persistent link: https://www.econbiz.de/10012243058
We use a Wicksellian single rotation framework to analyze the impact of the intertemporally fluctuating and stochastic mean-reverting interest rate process on the optimal harvesting threshold and thereby the expected length of the rotation period, when forest value is also stochastic following...
Persistent link: https://www.econbiz.de/10011450936