统计决策与判断一起起作用

IF 1.2 3区经济学 Q3 ECONOMICS

Journal of Economic Theory Pub Date : 2025-01-01 DOI:10.1016/j.jet.2024.105940

Simone Manganelli

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引用次数: 0

摘要

对于给定的显著性水平，决策者测试在判断决策时评估的损失函数的梯度是否为零。如果测试没有拒绝，决策者选择判断决策。如果测试拒绝，决策者选择梯度在拒绝区域边界处的动作。该检验是可接受的，并且是渐近最强大的。显著性的高低反映了决策者对不确定性的态度。将决策规则应用于一个资产配置问题。

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Statistical decision functions with judgment

A decision maker tests whether the gradient of the loss function evaluated at a judgmental decision is zero, for a given level of significance. If the test does not reject, the decision maker selects the judgmental decision. If the test rejects, the decision maker chooses the action whose gradient is at the boundary of the rejection region. The test is admissible and asymptotically most powerful. The level of significance reflects the decision maker's attitude toward uncertainty. The decision rule is applied to a problem of asset allocation.

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来源期刊

Journal of Economic Theory ECONOMICS-

CiteScore

2.50

自引率

12.50%

发文量

135

期刊介绍： The Journal of Economic Theory publishes original research on economic theory and emphasizes the theoretical analysis of economic models, including the study of related mathematical techniques. JET is the leading journal in economic theory. It is also one of nine core journals in all of economics. Among these journals, the Journal of Economic Theory ranks fourth in impact-adjusted citations.