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Characterization of Time-Consistent Sets of Measures in Finite Trees

By Monika Bier

Abstract

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.Multiple Priors, Time-Consistency, Ambiguity, Uncertainty Aversion

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