Robust Robustness

We propose a refinement of the maxmin approach to robustness. A mechanism’s payoff guarantee over an ambiguity set is \emph{robust} if the guarantee is approximately satisfied at priors near the ambiguity set (in the weak topology). We show that many maxmin-optimal mechanisms in the literature give payoff guarantees that are not robust. Such mechanisms are often tailored to degenerate worst-case priors, making them simple but fragile. Conversely, some commonly used ambiguity sets satisfy a structural property which ensures that every associated payoff guarantee is robust. We show how any ambiguity set can be slightly enriched to satisfy this property.