The best choice problem under ambiguity
| Autor: | Tatjana Chudjakow, Frank Riedel |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2013 |
| Předmět: |
Economics and Econometrics
Mathematical optimization Ambiguity media_common.quotation_subject Ambiguity aversion Best choice problem Simple (abstract algebra) Prior probability ddc:330 Optimal stopping Mathematics media_common Secretary problem Risikoaversion Suchtheorie Entscheidung bei Unsicherheit Backward induction Personalauswahl Closed-form expression Best choice problem Secretary problem Optimal stopping Ambiguity Theorie |
| Zdroj: | PUB-Publications at Bielefeld University |
| Popis: | We model and solve Best Choice Problems in the multiple prior framework: An ambiguity averse decision maker aims to choose the best among a fixed number of applicants that appear sequentially in a random order. The decision faces ambiguity about the probability that a candidate - a relatively top applicant - is actually best among all applicants. We show that our model covers the classical secretary problem, but also other interesting classes of problems. We provide a closed form solution of the problem for time-consistent priors using minimax backward induction. As in the classical case the derived stopping strategy is simple. Ambiguity can lead to substantial differences to the classical threshold rule. |
| Databáze: | OpenAIRE |
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