Robust best choice problem

Obradovic L (2020)
MATHEMATICAL METHODS OF OPERATIONS RESEARCH.

Zeitschriftenaufsatz | E-Veröff. vor dem Druck | Englisch
 
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Abstract / Bemerkung
We consider a robust version of thefull information best choiceproblem: there is model uncertainty, represented by a set of priors, about the measure driving the observed process. We propose a general construction of the set of priors that we use to solve the problem in the setting of Riedel (Econometrica 77(3):857-908, 2009). As in the classical case, it is optimal to stop if the current observation is a running maximum that exceeds certain decreasing thresholds. We characterize the history dependent minimizing measure and perform sensitivity analysis on two examples.
Stichworte
Optimal stopping; Best choice problem; Secretary problem; Model; uncertainty; Ambiguity aversion
Erscheinungsjahr
2020
Zeitschriftentitel
MATHEMATICAL METHODS OF OPERATIONS RESEARCH
ISSN
1432-2994
eISSN
1432-5217
Page URI
https://pub.uni-bielefeld.de/record/2945118

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Obradovic L. Robust best choice problem. MATHEMATICAL METHODS OF OPERATIONS RESEARCH. 2020.
Obradovic, L. (2020). Robust best choice problem. MATHEMATICAL METHODS OF OPERATIONS RESEARCH. doi:10.1007/s00186-020-00719-5
Obradovic, Lazar. 2020. “Robust best choice problem”. MATHEMATICAL METHODS OF OPERATIONS RESEARCH.
Obradovic, L. (2020). Robust best choice problem. MATHEMATICAL METHODS OF OPERATIONS RESEARCH.
Obradovic, L., 2020. Robust best choice problem. MATHEMATICAL METHODS OF OPERATIONS RESEARCH.
L. Obradovic, “Robust best choice problem”, MATHEMATICAL METHODS OF OPERATIONS RESEARCH, 2020.
Obradovic, L.: Robust best choice problem. MATHEMATICAL METHODS OF OPERATIONS RESEARCH. (2020).
Obradovic, Lazar. “Robust best choice problem”. MATHEMATICAL METHODS OF OPERATIONS RESEARCH (2020).
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