Data-driven nonlinear expectations for statistical uncertainty in decisions

Samuel N. Cohen

Papers from arXiv.org

Abstract: In stochastic decision problems, one often wants to estimate the underlying probability measure statistically, and then to use this estimate as a basis for decisions. We shall consider how the uncertainty in this estimation can be explicitly and consistently incorporated in the valuation of decisions, using the theory of nonlinear expectations.

Date: 2016-09
New Economics Papers: this item is included in nep-upt
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