Tatjana Chudjakow (Institute of Mathematical Economics, Bielefeld University) Frank Riedel () (Institute of Mathematical Economics, Bielefeld University)
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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.
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Paper provided by Bielefeld University, Institute of Mathematical Economics in its series Working Papers with number
413.
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