Pandora's Box Reopened: Robust Search and Choice Overload

Abstract: This paper revisits the classic Pandora's box problem, studying a decision-maker (DM) who seeks to minimize her maximal ex-post regret. The DM decides how many options to explore and in what order, before choosing one or taking an outside option. We characterize the regret-minimizing search rule and show that the likelihood of opting out often increases as more options become available for exploration. We show that this choice overload" is driven by the DM's fear ofselection error" -- the regret from searching the wrong options -- suggesting that steering choice via recommendations or cost heterogeneity can mitigate regret and encourage search.