Dynamic Concern for Misspecification

Giacomo Lanzani

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Decision-Making and Behavioral Economics Game Theory and Applications Adaptive Dynamic Programming Control

Abstract

We consider an agent that repeatedly chooses among actions whose payoffs have an unknown distribution. This choice is taken using an average of robust control assessments, where each assessment takes a different structured model as the benchmark. We introduce endogeneity in the misspecification concern: the better the structured models explain the past, the less concerned the agent is.

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