Simultaneous Search

We introduce and solve a new class of quot;downward-recursivequot; static portfolio choice problems. An individual simultaneously chooses among ranked stochastic options, and each choice is costly. In the motivational application, just one may be exercised from those that succeed. This often emerges in practice, such as when a student applies to many colleges.We show that a greedy algorithm finds the optimal set. The optimal choices are quot;less aggressivequot; than the sequentially optimal ones, but quot;more aggressivequot; than the best singletons. The optimal set in general contains gaps. We provide a comparative static on the chosen set