Article ID Journal Published Year Pages File Type
957198 Journal of Economic Theory 2013 76 Pages PDF
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.

Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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