Robust Aggregation of Correlated Information

About this event

Decisions are typically made by drawing on multiple sources of information, yet the correlation among these sources is often hard to assess. We study robustly optimal strategies––those that maximize the worst-case payoff guarantee across all correlation structures. With two states and two actions, the robustly optimal strategy is strikingly simple: ignore all but the best information source. With more actions, the analysis can be extended by decomposing the problem into binary-action subproblems. With more states, we show a more sophisticated characterization of robustly optimal strategies via concavification. Our results offer a new rationale for why ignoring information can be optimal.”