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Wald's maximin model: a treasure in disguise!

Wald's maximin model: a treasure in disguise! Purpose – The purpose of this paper is to illustrate the expressive power of Wald's maximin model and the mathematical modeling effort requisite in its application in decision under severe uncertainty. Design/methodology/approach – Decision making under severe uncertainty is art as well as science. This fact is manifested in the insight and ingenuity that the modeller/analyst is required to inject into the mathematical modeling of decision problems subject to severe uncertainty. The paper elucidates this point in a brief discussion on the mathematical modeling of Wald's maximin paradigm. Findings – The apparent simplicity of the maximin paradigm implies that modeling it successfully requires a considerable mathematical modeling effort. Practical implications – The paper illustrates the importance of mastering the art of mathematical modeling especially in the application of Wald's maximin model. Originality/value – This paper sheds new light on some of the modeling aspects of Wald's maximin paradigm. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Risk Finance Emerald Publishing

Wald's maximin model: a treasure in disguise!

The Journal of Risk Finance , Volume 9 (3): 5 – May 23, 2008

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References (11)

Publisher
Emerald Publishing
Copyright
Copyright © 2008 Emerald Group Publishing Limited. All rights reserved.
ISSN
1526-5943
DOI
10.1108/15265940810875603
Publisher site
See Article on Publisher Site

Abstract

Purpose – The purpose of this paper is to illustrate the expressive power of Wald's maximin model and the mathematical modeling effort requisite in its application in decision under severe uncertainty. Design/methodology/approach – Decision making under severe uncertainty is art as well as science. This fact is manifested in the insight and ingenuity that the modeller/analyst is required to inject into the mathematical modeling of decision problems subject to severe uncertainty. The paper elucidates this point in a brief discussion on the mathematical modeling of Wald's maximin paradigm. Findings – The apparent simplicity of the maximin paradigm implies that modeling it successfully requires a considerable mathematical modeling effort. Practical implications – The paper illustrates the importance of mastering the art of mathematical modeling especially in the application of Wald's maximin model. Originality/value – This paper sheds new light on some of the modeling aspects of Wald's maximin paradigm.

Journal

The Journal of Risk FinanceEmerald Publishing

Published: May 23, 2008

Keywords: Decision making; Uncertainty management; Game theory; Information modelling; Mathematical modelling

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