PUB - Publikationen an der Universität Bielefeld

A decision maker (DM) makes choices from dierent sets of alternatives. The DM is initially fully ignorant of the payo associated to each alternative, and learns these payos only after a large number of choices have been made. We show that, in the presence of an outside option once payos are learned, the optimal choice rule from sets of alternatives is one that is as if the DM had strict preferences over all alternatives. Under this model, the DM has preferences for preferences while being ignorant of what preferences are \right".