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When selling information products, the seller can provide some free partial information to change people's valuations so that the overall revenue can possibly be increased. We study the general problem of advertising information products by…

We consider an irreversible investment problem under incomplete information, where the investor decides whether and when to make investments in a project. Upon investment, the investor acquires previously hidden information from the…

We investigate the general structure of optimal investment and consumption with small proportional transaction costs. For a safe asset and a risky asset with general continuous dynamics, traded with random and time-varying but small…

Specialization and diversification are two major strategies that complex systems might exploit. Given a fixed amount of resources, the question is whether to invest this in elements that respond in a correlated manner to external…

This paper presents novel bilevel leader-follower portfolio selection problems in which the financial intermediary becomes a decision-maker. This financial intermediary decides on the unit transaction costs for investing in some securities,…

The development of new methods and representations for temporal decision-making requires a principled basis for characterizing and measuring the flexibility of decision strategies in the face of uncertainty. Our goal in this paper is to…

In persuasion problems where the receiver's action is one-dimensional and his utility is single-peaked, optimal signals are characterized by duality, based on a first-order approach to the receiver's problem. A signal is optimal iff the…

An uninformed sender publicly commits to an informative experiment about an uncertain state, privately observes its outcome, and sends a cheap-talk message to a receiver. We provide an algorithm valid for arbitrary state-dependent…

Traditional statistical estimation, or statistical inference in general, is static, in the sense that the estimate of the quantity of interest does not change the future evolution of the quantity. In some sequential estimation problems…

We investigate the problem of a principal looking to contract an expert to provide a probability forecast for a categorical event. We assume all experts have a common public prior on the event's probability, but can form more accurate…

We consider the problem of optimal dynamic information acquisition from many correlated information sources. Each period, the decision-maker jointly takes an action and allocates a fixed number of observations across the available sources.…

We consider the problem of a decision-maker searching for information on multiple alternatives when information is learned on all alternatives simultaneously. The decision-maker has a running cost of searching for information, and has to…

We study single-stage decision problems in which a subset of items with minimum total cost has to be selected at once from a given set of items, subject to two costs of each item -fixed and uncertain -and cardinality constraints for each…

We call an investment strategy survival, if an agent who uses it maintains a non-vanishing share of market wealth over the infinite time horizon. In a discrete-time multi-agent model with endogenous asset prices determined through a…

We consider stopping problems in which a decision maker (DM) faces an unknown state of nature and decides sequentially whether to stop and take an irreversible action; pay a fee and obtain additional information; or wait without acquiring…

When introducing a novel product, a seller sets a price and decides how much information to provide to a buyer, who may incur a search cost to discover an outside option. The buyer knows the outside option distribution; the seller knows…

We consider a market consisting of one safe and one risky asset, which offer constant investment opportunities. Taking into account both proportional transaction costs and linear price impact, we derive optimal rebalancing policies for…

We study information design settings where the designer controls information about a state, and there are multiple agents interacting in a game who are privately informed about their types. Each agent's utility depends on all agents' types…

In many practical sequential decision-making problems, tracking the state of the environment incurs a sensing/communication/computation cost. In these settings, the agent's interaction with its environment includes the additional component…

We study the modelling and valuation of surrender and other behavioural options in life insurance and pension. We place ourselves in between the two extremes of completely arbitrary intervention and optimal intervention by the policyholder.…