The Three Envelopes Game - Quant Trader Interview Question
Difficulty: Medium
Category: Market Microstructure
Practice quant interview questions from top firms including Jane Street, Citadel, Two Sigma, DE Shaw, and other leading quantitative finance companies.
Topics: logic, optimal-stopping, probability, game-theory
Problem Description
You are presented with three envelopes, each containing a different amount of money. The amounts are randomly determined and unknown to you. You are allowed to open the envelopes sequentially, one at a time. After opening an envelope, you have the choice to either keep the money inside and end the game, or discard it and open the next envelope. Once you discard an envelope, you cannot go back to it. Your goal is to maximize the probability of selecting the envelope with the largest amount of mon
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