With the conservative approach, we choose the decision which maximises minimum payoff. I was wondering which decision is chosen if 2 decisions have equal minimum payoff (which is the maximum)?


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    $\begingroup$ This question is too vague. Please go more into details about the set-up, what are the decisions, which pay-off and so forth. Do you just ask which strategy to choose if 2 strategies have the same return? $\endgroup$
    – Richi Wa
    Sep 8, 2014 at 15:22
  • $\begingroup$ The short answer is, ceteris paribus, they are of equal value; it doesn't matter which decision you make. If it is an algorithm, it will pick the first one it comes across. $\endgroup$
    – berkorbay
    Sep 9, 2014 at 21:35

1 Answer 1


Problematic is already the use of the words "conservative" and "minimum". There is no absolute minimum, worst case (in continuous models, i.e. reality), as things can always get worse than they have ever been before and than anybody anticipated. Depending on where one defines the minimum, there can always be an even more conservative investor in the market.

Given your tags, let me say that in quantitative areas like portfolio management, if we compare two strategies, e.g. portfolios, for which one risk measure gives equal minimum payoff, then we may apply another risk measure and choose the portfolio which scores better in this risk measure. For example, if a conservative investor considers the robust portfolios with maximized 10%-quantile of weekly returns, and two portfolios are equally good in this measure, he may turn to the one that offers better median returns.


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