Robust optimization models present a compelling methodology for optimization under uncertainty, providing a practical, ambiguity-averse evaluation of risk when the probability distribution is encapsulated by an ambiguity set. We introduce the moment-dispersion ambiguity set, an improvement on...

Accounting for ambiguity aversion in dynamic decisions generally implies that either dynamic consistency or consequentialism must be given up. To gain insight into which of these principles better describes people's preferences we tested them using a variation of Ellsberg's three-color urn...