Second-order uncertainty and naive diversification
提出一种新的模糊性下的决策模型——二阶不确定性,决策者考虑所有概率分布,选择使结果波动最小的配置,即等权重配置(朴素分散化)。
This paper introduces a new model for decision making under ambiguity called second-order uncertainty. The decision maker considers all probability distributions associated with the given options, and chooses the allocation that minimizes the variability of outcome across all probabilities. Optimal allocation under second-order uncertainty is the equal weighted allocation, also called naive diversification.