Comparisons of Ambiguous Experiments

Fabien Gensbittel (1) , Ludovic Renou (2) , Tristan Tomala (3)

1 GREMAQ - Groupe de recherche en économie mathématique et quantitative
2 University of Essex
3 GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC

An ambiguous statistical experiment is a set of joint probability distributions over states and signals. This note compares ambiguous experiments from the point of view of an ambiguity averse decision maker and extends the Blackwell (1951, 1953) ordering to this setting.

Mots clés: experiments; value of information; multiple priors; maximin; rectangularity

Domaines: Gestion et management

Fabien Gensbittel, Ludovic Renou, Tristan Tomala. Comparisons of Ambiguous Experiments. 2015. ⟨hal-02011419⟩