Seminar 217, Risk Management: Robust Experimentation in the Continuous Time Bandit Problem

Risk Seminar
Apr 2, 2019 11:00am to 12:30pm
1011 Evans Hall
Happening As Scheduled
We consider the experimentation dynamics of a decision maker (DM) in a two-armed bandit setup, where the agent holds ambiguous beliefs regarding the distribution of the return process of one arm and is certain about the other one. The DM entertains Multiplier preferences a la Hansen and Sargent [2001], thus we frame the decision making environment as a two-player differential game against nature...
Speakers: Farzad Pourbabaee, UC Berkeley (Speaker - Featured)