A bird's view of info‐gap decision theory

Abstract

Purpose

The purpose of this paper is to clarify a number of important facts about info‐gap decision theory.

Design/methodology/approach

Theorems are put forward to rebut claims made about info‐gap decision theory in papers published in this journal and elsewhere.

Findings

Info‐gap's robustness model is a simple instance of the most famous model in classical decision theory for the treatment of decision problems subject to severe uncertainty, namely Wald's maximin model. This simple instance is the equivalent of the well‐established model known universally as radius of stability. Info‐gap's robustness model has an inherent local orientation. Therefore, it is in principle unable to address the fundamental difficulties presented by the type of severe uncertainty that is postulated by info‐gap decision theory.

Practical implications

These findings caution against accepting the assertions made in the info‐gap literature about: info‐gap decision theory's role and place in decision making under severe uncertainty; and its ability to model, analyze, and manage severe uncertainty.

Originality/value

This paper exposes the serious difficulties with claims made in papers published in this journal and elsewhere regarding the place and role of info‐gap decision theory in decision theory and its ability to handle severe uncertainty.

Citation

Sniedovich, M. (2010), "A bird's view of info‐gap decision theory", Journal of Risk Finance, Vol. 11 No. 3, pp. 268-283. https://doi.org/10.1108/15265941011043648

Download as .RIS