# 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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