• Corpus ID: 250334602

Cost-efficient Payoffs under Model Ambiguity

@inproceedings{Bernard2022CostefficientPU,
  title={Cost-efficient Payoffs under Model Ambiguity},
  author={Carole Bernard and Gero Junike and Thibaut Lux and Steven Vanduffel},
  year={2022}
}
A payoff that is the cheapest possible in reaching a given target distribution is called cost-efficient. In the presence of ambiguity the distribution of a payoff is no longer known. A payoff is called robust cost-efficient if its worst-case distribution stochastically dominates a target distribution and is the cheapest possible in doing so. We study the link between this notion of “robust cost-efficiency” and the maxmin expected utility setting of Gilboa and Schmeidler, as well as more generally with… 

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