Roger Moon, University of Southern California
Optimal Discrete Decisions when Payoffs are Partially Identified
Date and Location
Monday, November 6, 2023, 3:40 PM - 5:00 PM
Blue Room, 1113 Social Sciences and Humanities
We derive optimal statistical decision rules for discrete choice problems when the decision
maker is unable to discriminate among a set of payo distributions. In this problem, the
decision maker must confront both model uncertainty (about the identity of the true
payo distribution) and statistical uncertainty (the set of payo distributions must be
estimated). We derive e cient-robust decision rules which minimize maximum risk or
regret over the set of payo distributions and which use the data to learn e ciently
about features of the set of payo distributions germane to the choice problem.We discuss
implementation of these decision rules via the bootstrap and Bayesian methods, for both
parametric and semiparametric models. Using a limits of experiments framework, we
show that e cient-robust decision rules are optimal and can dominate seemingly natural
alternatives. We present applications to treatment assignment using observational data
and optimal pricing in environments with rich unobserved heterogeneity.
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