Making Decisions under Model Misspecification

Simone Cerreia-Vioglio, Lars Hansen, Fabio Maccheroni and Massimo Marinacci

Papers from arXiv.org

Abstract: We use decision theory to confront uncertainty that is sufficiently broad to incorporate "models as approximations." We presume the existence of a featured collection of what we call "structured models" that have explicit substantive motivations. The decision maker confronts uncertainty through the lens of these models, but also views these models as simplifications, and hence, as misspecified. We extend the max-min analysis under model ambiguity to incorporate the uncertainty induced by acknowledging that the models used in decision-making are simplified approximations. Formally, we provide an axiomatic rationale for a decision criterion that incorporates model misspecification concerns.

Date: 2020-08, Revised 2022-08
New Economics Papers: this item is included in nep-mic and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://arxiv.org/pdf/2008.01071 Latest version (application/pdf)

Related works:
Working Paper: Making Decisions under Model Misspecification (2020)
Working Paper: Making Decisions under Model Misspecification (2020)
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:arx:papers:2008.01071

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().