Title	"Dice"-sion Making under Uncertainty: When Can a Random Decision Reduce Risk?
Creator	Wiesemann, Wolfram
Publisher	Banff International Research Station for Mathematical Innovation and Discovery
Date Issued	2018-03-09T09:02
Description	Consider an Ellsberg experiment in which one can win by calling the color (red or blue) of the ball that will be drawn from an urn in which the balls are of unknown proportions. It is well known (yet rarely advertised) that selecting the color based on a fair sided coin completely eradicates the ambiguity about the odds of winning. In this talk, we explore what are conditions under which a decision maker that employs a risk measure should have his action depend on the outcome of an independent random device. Surprisingly, we show that for any ambiguity averse risk measure there always exists a decision problem in which a randomized decision strictly dominates all deterministic decisions. This is joint work with Erick Delage and Daniel Kuhn.
Extent	40 minutes
Subject	Mathematics; Operations research, mathematical programming; Probability theory and stochastic processes; Operation research
Type	Moving Image
File Format	video/mp4
Language	eng
Notes	Author affiliation: Imperial College London
Series	BIRS Workshop Lecture Videos (Banff, Alta)
Date Available	2018-09-06
Provider	Vancouver : University of British Columbia Library
Rights	Attribution-NonCommercial-NoDerivatives 4.0 International
DOI	10.14288/1.0371934
URI	http://hdl.handle.net/2429/67119
Affiliation	Non UBC
Peer Review Status	Unreviewed
Scholarly Level	Faculty
Rights URI	http://creativecommons.org/licenses/by-nc-nd/4.0/
Aggregated Source Repository	DSpace

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"Dice"-sion Making under Uncertainty: When Can a Random Decision Reduce Risk? Wiesemann, Wolfram

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