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Wald Revisited: The Optimal Level of Experimentation

Moscarini, Giuseppe; Smith, Lones - Cowles Foundation for Research in Economics, Yale University - 1998

This paper revisits Wald's (1947) sequential experimentation paradigm, now assuming that an impatient decision maker … irreversible action. We translate this natural discrete time experimentation story into a tractable control of variance for a … continuous time diffusion. Here we robustly characterize the optimal experimentation level: It is rising in the confidence about …

Persistent link: https://www.econbiz.de/10005762616

Stationary Multi Choice Bandit Problems

Bergemann, Dirk; Vaimaki, Juuso - Cowles Foundation for Research in Economics, Yale University - 1999

This note shows that the optimal choice of k simultaneous experiments in a stationary multi-armed bandit problem can be characterized in terms of the Gittins index of each arm. The index characterization remains equally valid after the introduction of switching costs.

Persistent link: https://www.econbiz.de/10005762526

Gradual learning from incremental actions

Laiho, Tuomas; Murto, Pauli; Salmi, Julia - 2025

We introduce a collective experimentation problem where a continuum of agents choose the timing of irreversible actions …

Persistent link: https://www.econbiz.de/10015327135

Gradual learning from incremental actions

Laiho, Tuomas; Murto, Pauli; Salmi, Julia - In: Theoretical Economics 20 (2025) 1, pp. 93-130

We introduce a collective experimentation problem where a continuum of agents choose the timing of irreversible actions …

Persistent link: https://www.econbiz.de/10015419689

Gradual learning from incremental actions

Laiho, Tuomas; Murto, Pauli; Salmi, Julia - In: Theoretical economics : TE ; an open access journal in … 20 (2025) 1, pp. 93-130

We introduce a collective experimentation problem where a continuum of agents choose the timing of irreversible actions …

Persistent link: https://www.econbiz.de/10015332590

Gradual learning from incremental actions

Laiho, Tuomas; Murto, Pauli; Salmi, Julia - 2025

We introduce a collective experimentation problem where a continuum of agents choose the timing of irreversible actions …

Persistent link: https://www.econbiz.de/10015186295

Asset pricing under rational learning about rare disasters

Koulovatianos, Christos; Wieland, Volker - 2011

This paper proposes a new approach for modeling investor fear after rare disasters. The key element is to take into account that investors’ information about fundamentals driving rare downward jumps in the dividend process is not perfect. Bayesian learning implies that beliefs about the...

Persistent link: https://www.econbiz.de/10010368587

Timing decisions under model uncertainty

Auster, Sarah; Kellner, Christian - 2023

We study the effect of ambiguity on timing decisions. An agent faces a stopping problem with an uncertain stopping payoff and a stochastic time limit. The agent is unsure about the correct model quantifying the uncertainty and seeks to maximize her payoff guarantee over a set of plausible...

Persistent link: https://www.econbiz.de/10014374788

Increasing taxes after a financial crisis: Not a bad idea after all ...

Koulovatianos, Christos; Mavridis, Dimitris - 2018

Based on OECD evidence, equity/housing-price busts and credit crunches are followed by substantial increases in public consumption. These increases in unproductive public spending lead to increases in distortionary marginal taxes, a policy in sharp contrast with presumably optimal Keynesian...

Persistent link: https://www.econbiz.de/10011936366

How to take an exam if you must: Decision under Deadline

Huynh, Hsueh-Ling; Majumdar, Sumon - 2006

This paper uses the example of an exam to model multi-dimensional search under a deadline. When the dimension is two, an order-invariance property allows simple characterization of the optimal search policy. Behavior is shown to be highly sensitive to changes in the deadline, and a wide variety...

Persistent link: https://www.econbiz.de/10011940733