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Forand, Jean Guillaume - In: Journal of economic dynamics & control 53 (2015), pp. 47-68

Persistent link: https://www.econbiz.de/10011526842

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

Dynamic pricing in the presence of individual learning

Weng, Xi - In: Journal of Economic Theory 155 (2015) C, pp. 262-299

This paper studies price dynamics in a setting in which a monopolist sells a new experience good over time to many buyers, and the seller can neither price discriminate among the buyers nor commit to a price rule. Buyers learn from their own experiences about the effectiveness of the product....

Persistent link: https://www.econbiz.de/10011189761

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

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

A new application for the goal programming: The target decision rule for uncertain problems

Gaspars-Wieloch, Helena - In: Journal of Risk and Financial Management 13 (2020) 11, pp. 1-14

The goal programming (GP) is a well-known approach applied to multi-criteria decision making (M-DM). It has been used in many domains and the literature offers diverse extensions of this procedure. On the other hand, so far, some evident analogies between M-DM under certainty and scenario-based...

Persistent link: https://www.econbiz.de/10012611488

Prolonged learning and hasty stopping: The Wald problem with ambiguity

Auster, Sarah; Che, Yeon-Koo; Mierendorff, Konrad - 2022

This paper studies sequential information acquisition by an ambiguity-averse decision maker (DM), who decides how long to collect information before taking an irreversible action. The agent optimizes against the worst-case belief and updates prior by prior. We show that the consideration of...

Persistent link: https://www.econbiz.de/10013480172

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

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