Calibration, Expected Utility and Local Optimality
AbstractWe propose a framework for reconciling frequentist and subjectivist views of probability. In an environment with repeated trails we show that beliefs about the possible states of nature can be represented by probabilities. Second, these probabilities will correspond to long run frequencies. In particular they will be naively calibrated. Third, the actions chosen in each trial will be the ones that maximize expected utility on that trial. The expectation is with respect to the probabilities used to represent beliefs.
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Bibliographic InfoPaper provided by Northwestern University, Center for Mathematical Studies in Economics and Management Science in its series Discussion Papers with number 1254.
Date of creation: Mar 1999
Date of revision:
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Postal: Center for Mathematical Studies in Economics and Management Science, Northwestern University, 580 Jacobs Center, 2001 Sheridan Road, Evanston, IL 60208-2014
Web page: http://www.kellogg.northwestern.edu/research/math/
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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Ehud Kalai, 1995.
"Calibrated Forecasting and Merging,"
1144R, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Ehud Kalai & Ehud Lehrer & Rann Smorodinsky, 2010. "Calibrated Forecasting and Merging," Levine's Working Paper Archive 584, David K. Levine.
- Ehud Kalai, 1995. "Calibrated Forecasting and Merging," Discussion Papers 1144, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Kalai, Ehud, 1989. "Games and economic behavior," Games and Economic Behavior, Elsevier, vol. 1(1), pages 1-4, March.
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