The Best Choice Problem under Ambiguity

Chudjakow T, Riedel F (2009) Working Papers. Institute of Mathematical Economics; 413.
Bielefeld: Universität Bielefeld.

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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.
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Chudjakow T, Riedel F. The Best Choice Problem under Ambiguity. Working Papers. Institute of Mathematical Economics. Vol 413. Bielefeld: Universität Bielefeld; 2009.
Chudjakow, T., & Riedel, F. (2009). The Best Choice Problem under Ambiguity (Working Papers. Institute of Mathematical Economics, 413). Bielefeld: Universität Bielefeld.
Chudjakow, T., and Riedel, F. (2009). The Best Choice Problem under Ambiguity. Working Papers. Institute of Mathematical Economics, 413, Bielefeld: Universität Bielefeld.
Chudjakow, T., & Riedel, F., 2009. The Best Choice Problem under Ambiguity, Working Papers. Institute of Mathematical Economics, no.413, Bielefeld: Universität Bielefeld.
T. Chudjakow and F. Riedel, The Best Choice Problem under Ambiguity, Working Papers. Institute of Mathematical Economics, vol. 413, Bielefeld: Universität Bielefeld, 2009.
Chudjakow, T., Riedel, F.: The Best Choice Problem under Ambiguity. Working Papers. Institute of Mathematical Economics, 413. Universität Bielefeld, Bielefeld (2009).
Chudjakow, Tatjana, and Riedel, Frank. The Best Choice Problem under Ambiguity. Bielefeld: Universität Bielefeld, 2009. Working Papers. Institute of Mathematical Economics. 413.
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