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Robust Bayesian choice

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  • Stanca, Lorenzo

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. I show 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. I then introduce a choice-based measure of prior robustness and apply it to models of climate mitigation and portfolio choice.

Suggested Citation

  • Stanca, Lorenzo, 2023. "Robust Bayesian choice," Mathematical Social Sciences, Elsevier, vol. 126(C), pages 94-106.
    • Handle: RePEc:eee:matsoc:v:126:y:2023:i:c:p:94-106
    DOI: 10.1016/j.mathsocsci.2023.10.002
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