Robust Robustness

Ian Ball and Deniz Kattwinkel

Papers from arXiv.org

Abstract: The maxmin approach to distributional robustness evaluates each mechanism according to its payoff guarantee over all priors in an ambiguity set. We propose a refinement: the guarantee must be approximately satisfied at priors near the ambiguity set (in the weak topology). We call such a guarantee robust. The payoff guarantees from some maxmin-optimal mechanisms in the literature are not robust. We show, however, that over certain standard ambiguity sets (such as continuous moment sets), every mechanism's payoff guarantee is robust. We give a behavioral characterization of our refined robustness notion by imposing a new continuity axiom on maxmin preferences.

Date: 2024-08, Revised 2024-10
New Economics Papers: this item is included in nep-des and nep-mic
References: Add references at CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2408.16898 Latest version (application/pdf)

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:arx:papers:2408.16898

Access Statistics for this paper

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