Robustness to strategic uncertainty

Robustness to strategic uncertainty

In games with continuum strategy sets, we model a player’s uncertainty about another player’s strategy, as an atomless probability distribution over the other player’s strategy set. We call a strategy profile (strictly) robust to strategic uncertainty if it is the limit, as uncertainty vanishes, of some sequence (all sequences) of strategy profiles in which every player’s strategy is optimal un...

Robustness-based portfolio optimization under epistemic uncertainty

In this paper, we propose formulations and algorithms for robust portfolio optimization under both aleatory uncertainty (i.e., natural variability) and epistemic uncertainty (i.e., imprecise probabilistic information) arising from interval data. Epistemic uncertainty is represented using two approaches: (1) moment bounding approach and (2) likelihood-based approach. This paper first proposes a ...

An Ascending Auction for Interdependent Values: Uniqueness and Robustness to Strategic Uncertainty

=959444. 17P07044.indd 128 6/13/07 9:17:39 AM VOL. 97 NO. 2 129 AN ASCENDING AuCtION fOR INtERDEPENDENt VALuES The dynamic game introduces the possibility that a player can strategically commit in order to affect the behavior of the other agents. The analysis above suggests that the strategic value of the commitment does not interfere with our analysis. The absence of a strategic value of commi...

Introduction to model uncertainty and robustness

This article introduces the symposium on model uncertainty and robustness. © 2006 Elsevier Inc. All rights reserved. JEL classification: D81; D91

Strategic Technology Adoption under Technological Uncertainty