Non UBC
DSpace
Wiesemann, Wolfram
2018-09-06T05:01:20Z
2018-03-09T09:02
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.
https://circle.library.ubc.ca/rest/handle/2429/67119?expand=metadata
40 minutes
video/mp4
Author affiliation: Imperial College London
Banff (Alta.)
10.14288/1.0371934
eng
Unreviewed
Vancouver : University of British Columbia Library
Banff International Research Station for Mathematical Innovation and Discovery
Attribution-NonCommercial-NoDerivatives 4.0 International
http://creativecommons.org/licenses/by-nc-nd/4.0/
Faculty
BIRS Workshop Lecture Videos (Banff, Alta)
Mathematics
Operations research, mathematical programming
Probability theory and stochastic processes
Operation research
Dice"-sion Making under Uncertainty: When Can a Random Decision Reduce Risk?
Moving Image
http://hdl.handle.net/2429/67119