【主讲】Partrick Beißner (Australian National University)
【主题】Dynamically Consistent alpha-Maxmin Expected Utility
【时间】2016年5月17日 (周二) 15：30-17：00
【地点】上海财经大学经济学院楼701室
【语言】英文
【摘要】The alpha-maxmin model is a prominent example of preferences under Knightian uncertainty as it allows to distinguish ambiguity and ambiguity attitude. In its simple version, the model is dynamically inconsistent for nontrivial versions of alpha. In this paper, we derive a recursive, dynamically consistent version of the alpha-maxmin model. In its continuous-time limit, the representation of the dynamic utility function takes also the familiar form as a convex mixture between worst and best case, but now at the local, infinitesimal level. We study the properties of the utility function and provide an Arrow-Pratt approximation of the static and dynamic certainty equivalent. As an application, we derive a consumption{based capital asset pricing formula.
