Prolonged Learning and Hasty Stopping: The Wald Problem with Ambiguity.
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 ambiguit...
| Publicado en: | American Economic Review Vol. 114; no. 2; pp. 426 - 462 |
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| Autores principales: | , , |
| Formato: | Artículo |
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American Economic Association
Feb2024
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| Materias: | |
| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=175081460&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 175081460 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 00028282 AER jtl: American Economic Review issn: 00028282 maglogo: N pubinfo: dt: Feb2024 vid: 114 iid: 2 pid: 22 pub: American Economic Association artinfo: ui: 175081460 10.1257/aer.20221149 ppf: 426 ppct: 36 formats: tig: atl: Prolonged Learning and Hasty Stopping: The Wald Problem with Ambiguity. aug: au: Auster, Sarah Che, Yeon-Koo Mierendorff, Konrad affil: University of Bonn Columbia University University College London. su: Ambiguity Sequential learning sug: subj: Ambiguity Sequential learning ab: 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 ambiguity gives rise to rich dynamics: compared to the Bayesian DM, the DM here tends to experiment excessively when facing modest uncertainty and, to counteract it, may stop experimenting prematurely when facing high uncertainty. In the latter case, the DM's stopping rule is nonmonotonic in beliefs and features randomized stopping. (JEL C61, D81, D83, D91) pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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