Gain from the two-envelope problem via information asymmetry : on the suboptimality of randomized switching

@inproceedings{McDonnell2011GainFT,
  title={Gain from the two-envelope problem via information asymmetry : on the suboptimality of randomized switching},
  author={Mark D. McDonnell and Alex J. Grant and Ingmar Land and Badri N. Vellambi and Derek Abbott and Ken Lever},
  year={2011}
}
The two-envelope problem (or exchange problem) is one of maximizing the payoff in choosing between two values, given an observation of only one. This paradigm is of interest in a range of fields from engineering to mathematical finance, as it is now known that the payoff can be increased by exploiting a form of information asymmetry. Here, we consider a version of the ‘two-envelope game’ where the envelopes’ contents are governed by a continuous positive random variable. While the optimal… CONTINUE READING