Twisted probabilities, uncertainty, and prices
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DOI: 10.1016/j.jeconom.2020.01.011
Abstract: A decision maker constructs a convex set of nonnegative martingales to use as likelihood ratios that represent alternatives that are statistically close to a decision maker’s baseline model. The set is twisted to include some… read more here.
Keywords: twisted probabilities; probabilities uncertainty; uncertainty; uncertainty prices ... See more keywords