TY - UNPD
A1 - Adam, Klaus
T1 - On the relation between robust and Bayesian decision making
T2 - CFS working paper series ; 2003, 02
N2 - 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.
T3 - CFS working paper series - 2003, 02
KW - robust decision theory
KW - uncertainty aversion
KW - risk aversion
KW - Bayes-Entscheidungstheorie
KW - Entscheidungstheorie
Y1 - 2003
UR - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/4487
UR - https://nbn-resolving.org/urn:nbn:de:hebis:30-10084
ER -