Robust screening under ambiguity

Robust Decision-making Under Ambiguity

Most of management research, following on the paradigm of expected utility theory, has developed complex models of optimal managerial action in the presence of uncertainty. Still, the assumption that managers assign probabilities to outcomes, and consequently optimize their actions has come under criticism from a number of empirical studies. Researchers, working on probability assessments, have...

Electronic Companion — “ A Soft Robust Model for Optimization Under Ambiguity

A Soft Robust Model for Optimization Under Ambiguity

In this paper, we propose a framework for robust optimization that relaxes the standard notion of robustness by allowing the decision-maker to vary the protection level in a smooth way across the uncertainty set. We apply our approach to the problem of maximizing the expected value of a payoff function when the underlying distribution is ambiguous and therefore robustness is relevant. Our prima...

Ambiguity and robust statistics

Since the seminal work of Gilboa and Schmeidler [28, p. 142] a relation between decision making under ambiguity and robust Bayesian statistics has been hinted at, and indeed immediate similarities are quite evident. At the same time, a formal treatment of this topic and a complete characterization of the relation between the two approaches is still missing. The object of this paper is to …ll th...

Portfolio Choice Under Ambiguity

This paper provides an intersection between portfolio choice theory and the elicitation of preferences under uncertainty. Theories of financial markets build on portfolio choice theory, which generally assumes that preferences are of a particularly simple kind, while research on preferences has revealed that people have more sophisticated preferences. This paper brings the two fields together b...