On the relation between robust and Bayesian decision making
- This paper compares Bayesian decision theory with robust decision theory where the decision maker optimizes with respect to the worst state realization. For a class of robust decision problems there exists a sequence of Bayesian decision problems whose solution converges towards the robust solution. It is shown that the limiting Bayesian problem displays infinite risk aversion and that decisions are insensitive (robust) to the precise assignment of prior probabilities. This holds independent from whether the preference for robustness is global or restricted to local perturbations around some reference model.
| Author: | Klaus AdamORCiDGND |
|---|---|
| URN: | urn:nbn:de:hebis:30-10084 |
| Parent Title (German): | CFS working paper series ; 2003, 02 |
| Series (Serial Number): | CFS working paper series (2003, 02) |
| Document Type: | Working Paper |
| Language: | English |
| Year of Completion: | 2003 |
| Year of first Publication: | 2003 |
| Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Release Date: | 2005/06/13 |
| Tag: | risk aversion; robust decision theory; uncertainty aversion |
| GND Keyword: | Bayes-Entscheidungstheorie; Entscheidungstheorie |
| HeBIS-PPN: | 205391591 |
| Institutes: | Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Licence (German): |  Deutsches Urheberrecht |
