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Risk and Uncertainty

6.3 Minimax regret

The minimax regret strategy is the one that minimises the maximum
regret. It is useful for a risk-averse decision maker. Essentially, this is
the technique for a ‘sore loser’ who does not wish to make the wrong
decision.

‘Regret’ in this context is defined as the opportunity loss through having
made the wrong decision.

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