Abraham Wald's complete class theorem and Knightian uncertainty

• 成果类型: Article
• 署名作者: Kuzmics, Christoph
• 署名单位: University of Graz
• 刊物名称: GAMES AND ECONOMIC BEHAVIOR
• ISSN/ISSBN: 0899-8256
• DOI: 10.1016/j.geb.2017.06.012
• 发表日期: 2017
• 页码: 666-673
• 关键词: Ambiguity; decision theory; Knightian uncertainty; Experimental design

摘要

I study the implications of Wald's (1947) complete class theorem for decision making under Knightian uncertainty (or ambiguity). Suppose we call someone who uses Wald's approach to statistical decision making a Waldian. A Waldian may then have preferences over acts that are not in agreement with subjective expected utility but always chooses as if she was a subjective expected utility maximizer. In particular, even Wald's (1945) minmax decision rule is consistent with subjective expected utility. (C) 2017 Elsevier Inc. All rights reserved.