Robust Bayesian choice

Lorenzo Stanca

Mathematical Social Sciences, 2023, vol. 126, issue C, 94-106

Abstract: A major concern with Bayesian decision making under uncertainty is the use of a single probability measure to quantify all relevant uncertainty. This paper studies prior robustness as a form of continuity of the value of a decision problem. I show that this notion of robustness is characterized by a form of stable choice over a sequence of perturbed decision problems, in which the available acts are perturbed in a precise fashion. I then introduce a choice-based measure of prior robustness and apply it to models of climate mitigation and portfolio choice.

Keywords: Risk; Uncertainty; Robustness; Ambiguity; Robust statistics; Prior selection (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165489623000847
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:matsoc:v:126:y:2023:i:c:p:94-106

DOI: 10.1016/j.mathsocsci.2023.10.002

Access Statistics for this article

Mathematical Social Sciences is currently edited by J.-F. Laslier

More articles in Mathematical Social Sciences from Elsevier
Bibliographic data for series maintained by Catherine Liu ().