Wald's maximin model: a treasure in disguise!
Journal of Risk Finance, 2008, vol. 9, issue 3, 287-291
Purpose - The purpose of this paper is to illustrate the expressive power of Wald's maximin model and the mathematical modeling effort requisite in its application in decision under severe uncertainty. Design/methodology/approach - Decision making under severe uncertainty is art as well as science. This fact is manifested in the insight and ingenuity that the modeller/analyst is required to inject into the mathematical modeling of decision problems subject to severe uncertainty. The paper elucidates this point in a brief discussion on the mathematical modeling of Wald's maximin paradigm. Findings - The apparent simplicity of the maximin paradigm implies that modeling it successfully requires a considerable mathematical modeling effort. Practical implications - The paper illustrates the importance of mastering the art of mathematical modeling especially in the application of Wald's maximin model. Originality/value - This paper sheds new light on some of the modeling aspects of Wald's maximin paradigm.
Keywords: Decision making; Uncertainty management; Game theory; Information modelling; Mathematical modelling (search for similar items in EconPapers)
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