Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/43769
Authors: 
Chudjakow, Tatjana
Riedel, Frank
Year of Publication: 
2009
Series/Report no.: 
Working papers // Institute of Mathematical Economics 413
Abstract: 
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.
Subjects: 
Best choice problem
Secretary problem
Optimal stopping
Ambiguity
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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