Working Paper: Robust Bayesian Choice
Abstract
A major concern with Bayesian decision making under uncertainty is the use of a single probability measure to quantify all relevant uncertainty. This paper studies prior robustness as a form of continuity of the value of a decision problem. It is shown that this notion of robustness is characterized by a form of stable choice over a sequence of perturbed decision problems, in which the available acts are perturbed in a precise fashion. Subsequently, a choice-based measure of prior robustness is introduced and applied to portfolio choice and climate mitigation.
Type
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Lorenzo Maria Stanca
Assistant Professor of Economics
I am an Assistant Professor of Economics at Collegio Carlo Alberto and University of Turin, ESOMAS department.