A note on optimal experimentation under risk aversion

DOI10.1016/J.JET.2018.11.006MaRDI QIDQ1757557zbMATH OpenOpenAlexFDO

Authors Godfrey Keller, Vladimír Novák, Tim Willems

Publication date 15 January 2019

Published in Journal of Economic Theory (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1016/j.jet.2018.11.006

zbMATH Keywords

experimentationlearningrisk aversion

Mathematics Subject Classification ID

Decision theory (91B06) Utility theory (91B16)

Recommendations

• Risk aversion in expected intertemporal discounted utilities bandit problems
• Robust experimentation in the continuous time bandit problem
• Ambiguity aversion in multi-armed bandit problems
• An experimental analysis of the bandit problem
• The K-armed bandit problem with multiple priors

Cites work

• Career concerns with exponential learning
• Funding Criteria for Research, Development, and Exploration Projects
• Optimal Search for the Best Alternative
• Risk aversion in expected intertemporal discounted utilities bandit problems
• Risk Aversion in the Small and in the Large
• Strategic Experimentation
• Strategic Experimentation with Exponential Bandits
• Strategic experimentation with Poisson bandits
• Strategic experimentation with private payoffs

Cited in

(10)

• Risk aversion in expected intertemporal discounted utilities bandit problems
• Learning, risk attitude and hot stoves in restless bandit problems
• An experimental analysis of the bandit problem
• Even risk-averters may love risk
• (Sub) optimality and (non) optimal satisficing in risky decision experiments
• Robust experimentation in the continuous time bandit problem
• Investigating risky choices over losses using experimental data
• A central limit theorem, loss aversion and multi-armed bandits
• Ambiguity aversion in multi-armed bandit problems
• Risk preferences of learning algorithms

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