Showing 1 - 10 of 34
Persistent link: https://www.econbiz.de/10010412425
Persistent link: https://www.econbiz.de/10012612572
Persistent link: https://www.econbiz.de/10001585027
In a Markov decision problem with hidden state variables, a posterior distribution serves as a state variable and Bayes' law under an approximating model gives its law of motion. A decision maker expresses fear that his model is misspecified by surrounding it with a set of alternatives that are...
Persistent link: https://www.econbiz.de/10003114291
Exploring long-term implications of valuation leads us to recover and use a distorted probability measure that reflects the long-term implications for risk pricing. This measure is typically distinct from the physical and the risk neutral measures that are well known in mathematical finance. We...
Persistent link: https://www.econbiz.de/10013007552
A decision maker suspects that parameters of a set of structured parametric probability models vary over time in unknown ways that he does not describe probabilistically. He expresses a fear that all of these parametric models are misspeci ed by also wanting to consider alternative unstructured...
Persistent link: https://www.econbiz.de/10012955704
Robust control theory is a tool for assessing decision rules when a decision maker distrusts either the specification of transition laws or the distribution of hidden state variables or both. Specification doubts inspire the decision maker to want a decision rule to work well for a ∅ of models...
Persistent link: https://www.econbiz.de/10014025622
Exploring long-term implications of valuation leads us to recover and use a distorted probability measure that reflects the long-term implications for risk pricing. This measure is typically distinct from the physical and the risk neutral measures that are well known in mathematical finance. We...
Persistent link: https://www.econbiz.de/10013063951
Persistent link: https://www.econbiz.de/10015156812
We use decision theory to confront uncertainty that is sufficiently broad to incorporate “models as approximations.” We presume the existence of a featured collection of what we call “structured models” that have explicit substantive motivations. The decision maker confronts uncertainty...
Persistent link: https://www.econbiz.de/10013247388