Abraham Wald's Complete Class Theorem and Knightian Uncertainty
I study the implications of Wald's (1947) complete class theorem for decision making under Knightian uncertainty (or ambiguity). Suppose we call someone who uses Wald's approach to statistical decision making a Waldian. A Waldian may then have preferences over acts that are not in agreement with subjective expected utility but always chooses as if she was a subjective expected utility maximizer. In particular, even Wald's (1945) minmax decision rule is consistent with subjective expected utility.
Kuzmics, C. (2017): Abraham Wald’s Complete Class Theorem and Knightian Uncertainty, in: Games and Economic Behavior, Vol. 104, pp. 666-673, doi: doi.org/10.1016/j.geb.2017.06.012.
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