Correlation concern

Andrew Ellis

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: In many choice problems, the interaction between several distinct variables determines the payoff of each alternative. I propose and axiomatize a model of a decision maker who recognizes that she may not accurately perceive the correlation between these variables, and who takes this into account when making her decision. She chooses as if she calculates each alternative's expected outcome under multiple possible correlation structures, and then evaluates it according to the worst expected outcome.

JEL-codes: J1 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2025-09-30
New Economics Papers: this item is included in nep-mic
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Published in Journal of Economic Theory, 30, September, 2025, 228. ISSN: 0022-0531

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