Cerreia‐Vioglio, Simone; Hansen, Lars Peter; … - 2021
We use decision theory to confront uncertainty that is sufficiently broad to incorporate “models as approximations.” We …. The decision maker confronts uncertainty through the lens of these models, but also views these models as simplifications …, and hence, as misspecified. We extend the max-min analysis under model ambiguity to incorporate the uncertainty induced by …