Prolonged Learning and Hasty Stopping: The Wald Problem With Ambiguity

Sarah Auster (), Yeon-Koo Che and Konrad Mierendorff

CRC TR 224 Discussion Paper Series from University of Bonn and University of Mannheim, Germany

Abstract: 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 non-monotonic in beliefs and features randomized stopping.

Keywords: Wald Problem; Ambiguity Aversion (search for similar items in EconPapers)
JEL-codes: C61 D81 D83 D91 (search for similar items in EconPapers)
Pages: 51
Date: 2022-09
New Economics Papers: this item is included in nep-exp, nep-mic and nep-upt
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.crctr224.de/research/discussion-papers/archive/dp366 (application/pdf)

Related works:
Journal Article: Prolonged Learning and Hasty Stopping: The Wald Problem with Ambiguity (2024)
Working Paper: Prolonged Learning and Hasty Stopping: the Wald Problem with Ambiguity (2023)
Working Paper: Prolonged Learning and Hasty Stopping: the Wald Problem with Ambiguity (2023)
Working Paper: Prolonged Learning and Hasty Stopping: the Wald Problem with Ambiguity (2022)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bon:boncrc:crctr224_2022_366

Access Statistics for this paper

More papers in CRC TR 224 Discussion Paper Series from University of Bonn and University of Mannheim, Germany Kaiserstr. 1, 53113 Bonn , Germany.
Bibliographic data for series maintained by CRC Office ().