Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
957198 | Journal of Economic Theory | 2013 | 76 Pages |
Abstract
Starting with the seminal paper of Gilboa and Schmeidler (1989) [32] an analogy between the maxmin approach of decision theory under ambiguity and the minimax approach of robust statistics – e.g., Blum and Rosenblatt (1967) [10] – has been hinted at. The present paper formally clarifies this relation by showing the conditions under which the two approaches are actually equivalent.
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Economics and Econometrics
Authors
Simone Cerreia-Vioglio, Fabio Maccheroni, Massimo Marinacci, Luigi Montrucchio,