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Value of guessing a number that pays itself

Question

I secretly choose an integer nn between 11 and 100100. You get one guess, and if you guess correctly I pay you nn; otherwise you get nothing. Both of us play optimally. How much is this game worth to you?

Short answer

1/H100≈0.1931/H_{100}\approx0.193, where H100=∑k=11001kH_{100}=\sum_{k=1}^{100}\tfrac1k. I choose nn with probability proportional to 1n\tfrac1n, so every guess kk earns you k⋅1/kH100=1H100k\cdot\tfrac{1/k}{H_{100}}=\tfrac1{H_{100}}. You guess with the same 1/k1/k weights, making each of my choices cost me the same amount, so neither can do better.

Adapted from Joshi, Denson & Downes, Quant Job Interview Questions and Answers, Q3.4, p.81; question and answer rewritten by SelfMadeQuant.com.

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