Optimal Learning Under Robustness and Time-Consistency

Optimal Learning under Robustness and Time-Consistency

We model learning in a continuous-time Brownian setting where there is prior ambiguity. The associated model of preference values robustness and is timeconsistent. The model is applied to study optimal learning when the choice between actions can be postponed, at a per-unit-time cost, in order to observe a signal that provides information about an unknown parameter. The corresponding optimal st...

Optimal Robustness under Uncertainty

A. Robustness concern has been long reflected in the decision models under uncertainty since the maxmin expected utility theory. All the models set the degree of robustness concern as fixed across all the payoff profiles. However, a decision maker’s robustness concern may well changes when the certainty part or the unit scale of a payoff profile changes. This paper introduces formally a ...

Optimal Relief Order Quantity under Stochastic Demand and Lead-time

In this paper, a newsboy model is developed under uniformly distributed lead-time and demand that is an appropriate assumption in obtaining optimal relief inventory of humanitarian disasters. It is noteworthy that limited historical data are in hand on relief operations. Hence, analytical and approximate solutions for optimal relief order quan­tity were derived. The effect of lead-time uncertai...

Time Consistency and Optimal Policy Design

Robustness of optimal portfolios under risk and stochastic dominance constraints

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