# De Finetti's Coherence Principle and Frequentist interpretation

So, without proof or citation, I often see that the Coherence Principle by de Finetti does not hold with Frequentist statistics. It is pretty easy to create examples of this fact. The exception would be where the Frequentist and the Bayesian results map to the same values everywhere.

Can someone cite a proof for me, or provide one as the general case? I have looked and failed to find one in the literature.

EDIT Proof that if I were to gamble that $$\mu\ge{5}$$ and construct the odds using a Frequentist method, then there would exist cases where a Dutch Book could be constructed. That would except the case where the Bayesian and Frequentist solution map to the same answer.

As to how do you apply coherence to Frequentist statistics, you don't. However, econometrics does. Finance is almost purely a Frequentist discussion. Less than one percent of finance articles are Bayesian and they usually cover side cases. Models like Black-Scholes, aside from being problem-ridden, are also Frequentist in construction.

I can show that in my specific case, there will arise cases where a Dutch Book can be constructed. What I was hoping for was a general proof.

I had assumed the fact that the Dutch Book Theorem does not hold in finance was probably not a problem in real-world activity, but I am pretty certain that I was wrong.

• A proof of what exactly? – Richard Hardy Jun 12 '20 at 20:24
• "I often see..." Where does this statement come from? How do you apply coherence in frequentist statistics? – Sextus Empiricus Jun 12 '20 at 20:44
• Some months ago I raised a technical objection to your view on the extreme fat tailedness of the distribution of stock returns. I explained (by referring to the trading rules at major stock exchanges and perhaps other issues -- this was so long ago I cannot remember) why stock returns cannot have such fat tails. But I never got a notification that you responded. I wonder if I just missed it, or did you not respond? If the latter, I am curious to hear your opinion on my criticism of your view. – Richard Hardy Jun 13 '20 at 7:31
• Proof that if I were to gamble that μ≥5 and construct the odds using a Frequentist method, then there would exist cases where a Dutch Book could be constructed. Frequentist and Bayesian methods make conditional probability statements (like percentage coverage intervals) based on different conditions. Both of them can be Dutch booked depending on how you set up the gamble and determine performance. – Sextus Empiricus Jun 13 '20 at 13:30
• @RichardHardy I remember you objecting. What I do not remember is if I edited the answer or not. I had a period where I was quite sick and, simultaneously, busy. I will go backward and try and find it. – Dave Harris Jun 13 '20 at 19:21