Arbeitspapier
Robust decision-making under risk and ambiguity
Economists often estimate a subset of their model parameters outside the model and let the decision-makers inside the model treat these point estimates as-if they are correct. This practice ignores model ambiguity, opens the door for misspecification of the decision problem, and leads to post-decision disappointment. We develop a framework to explore, evaluate, and optimize decision rules that explicitly account for the uncertainty in the first step estimation using statistical decision theory. We show how to operationalize our analysis by studying a stochastic dynamic investment model where the decision-makers take ambiguity about the model's transition dynamics directly into account.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECONtribute Discussion Paper ; No. 104
- Klassifikation
-
Wirtschaft
Criteria for Decision-Making under Risk and Uncertainty
Operations Research; Statistical Decision Theory
Intertemporal Firm Choice: Investment, Capacity, and Financing
- Thema
-
decision-making under uncertainty
robust Markov decision process
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Blesch, Maximilian
Eisenhauer, Philipp
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Bonn and University of Cologne, Reinhard Selten Institute (RSI)
- (wo)
-
Bonn and Cologne
- (wann)
-
2021
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Blesch, Maximilian
- Eisenhauer, Philipp
- University of Bonn and University of Cologne, Reinhard Selten Institute (RSI)
Entstanden
- 2021
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