Econ Papers Daily / 期刊论文
相关信息的稳健聚合
Robust Aggregation of Correlated Information*
摘要
Decisions are typically made by drawing on multiple sources of information, yet the correlation among these sources is often hard to assess. We study robustly optimal strategies — those that maximize the worst-case payoff guarantee across all correlation structures. With two states and two actions, the robustly optimal strategy is strikingly simple: use only the best information source and ignore the rest.
中文摘要
决策通常依赖多种信息来源，但这些来源之间的相关性往往难以评估。我们研究稳健最优策略——即在所有相关结构下最大化最坏情况收益保证的策略。在两种状态和两种行动的情形下，稳健最优策略惊人地简单：仅使用最佳信息源，忽略其余信息源。