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An agent choosing between various actions tends to take the one with the lowest cost. But this choice is arguably too rigid (not adaptive) to be useful in complex situations, e.g., where exploration-exploitation trade-off is relevant in…
We study Pareto-optimal risk sharing in economies with heterogeneous attitudes toward risk, where agents' preferences are modeled by distortion risk measures. Building on comonotonic and counter-monotonic improvement results, we show that…
Many decision problems in economics, information technology, and industry can be transformed to an optimal stopping of adapted random vectors with some utility function over the set of Markov times with respect to filtration build by the…
We study the problem of agent selection in causal strategic learning under multiple decision makers and address two key challenges that come with it. Firstly, while much of prior work focuses on studying a fixed pool of agents that remains…
When humans are subject to an algorithmic decision system, they can strategically adjust their behavior accordingly (``game'' the system). While a growing line of literature on strategic classification has used game-theoretic modeling to…
We consider the problem of maximizing portfolio value when an agent has a subjective view on asset value which differs from the traded market price. The agent's trades will have a price impact which affect the price at which the asset is…
A perfectly rational decision-maker chooses the best action with the highest utility gain from a set of possible actions. The optimality principles that describe such decision processes do not take into account the computational costs of…
Individual choices are either based on personal experience or on information provided by peers. The latter case, causes individuals to conform to the majority in their neighborhood. Such herding behavior may be very efficient in aggregating…
We are witnessing an increasing use of data-driven predictive models to inform decisions. As decisions have implications for individuals and society, there is increasing pressure on decision makers to be transparent about their decision…
Financial portfolio optimization is a widely studied problem in mathematics, statistics, financial and computational literature. It adheres to determining an optimal combination of weights associated with financial assets held in a…
We model the joint distribution of choice probabilities and decision times in binary choice tasks as the solution to a problem of optimal sequential sampling, where the agent is uncertain of the utility of each action and pays a constant…
Strategic classification studies the problem where self-interested individuals or agents manipulate their response to obtain favorable decision outcomes made by classifiers, typically turning to dishonest actions when they are less costly…
The paper considers the problem of a leader that seeks to optimally influence the opinions of agents in a directed network through connecting with a limited number of the agents ("direct followers"), possibly in the presence of a fixed…
We consider the multi-period portfolio optimization problem with a single asset that can be held long or short. Due to the presence of transaction costs, maximizing the immediate reward at each period may prove detrimental, as frequent…
The transition from defined benefit to defined contribution pension plans shifts the responsibility for saving toward retirement from governments and institutions to the individuals. Determining optimal saving and investment strategy for…
Resource allocation systems provide the fundamental support for the normal functioning and well being of the modern society, and can be modeled as minority games. A ubiquitous dynamical phenomenon is the emergence of herding, where a vast…
This paper studies a continuous-time optimal portfolio selection problem in the complete market for a behavioral investor whose preference is of the prospect type with probability distortion. The investor concerns about the terminal…
Information sharing between individuals is crucial to improve performance in collective tasks. However, in a competitive world, individuals may be reluctant to share information with the others, and it is still unclear how the presence of…
This paper considers a distributed adaptive optimization problem, where all agents only have access to their local cost functions with a common unknown parameter, whereas they mean to collaboratively estimate the true parameter and find the…
This paper presents a framework of imitating the principal investor's behavior for optimal pricing and hedging options. We construct a non-deterministic Markov decision process for modeling stock price change driven by the principal…