Related papers: Optimal information acquisition for eliminating es…
Within the well-known framework of financial portfolio optimization, we analyze the existing relationships between the condition of arbitrage and the utility maximization in presence of \emph{insider information}. We assume that, since the…
We consider an investor who wants to select her/his optimal consumption, investment and insurance policies. Motivated by new insurance products, we allow not only the financial marke but also the insurable loss to depend on the regime of…
This paper presents an optimal allocation problem in a financial market with one risk-free and one risky asset, when the market is driven by a stochastic market price of risk. We solve the problem in continuous time, for an investor with a…
When additional information sources are available in decision making problems that allow stochastic optimization formulations, an important question is how to optimally use the information the sources are capable of providing. A framework…
A wireless system with multiple channels is considered, where each channel has several transmission states. A user learns about the instantaneous state of an available channel by transmitting a control packet in it. Since probing all…
Transaction costs play a critical role in asset allocation and consumption strategies in portfolio management. We apply the methods of dynamic programming and singular perturbation expansion to derive the closed-form leading solutions to…
We consider a general statistical estimation problem involving a finite-dimensional target parameter vector. Beyond an internal data set drawn from the population distribution, external information, such as additional individual data or…
In this article we consider an optimization problem of expected utility maximization of continuous-time trading in a financial market. This trading is constrained by a benchmark for a utility-based shortfall risk measure. The market…
Assuming that agents' preferences satisfy first-order stochastic dominance, we show how the Expected Utility paradigm can rationalize all optimal investment choices: the optimal investment strategy in any behavioral law-invariant…
This paper introduces a framework for modeling the cost of information acquisition based on the principle of cost-minimization. We study the reduced-form \emph{indirect cost} of information generated by the sequential minimization of a…
We consider a data analyst's problem of purchasing data from strategic agents to compute an unbiased estimate of a statistic of interest. Agents incur private costs to reveal their data and the costs can be arbitrarily correlated with their…
This paper extends the utility maximization literature by combining partial information and (robust) regulatory constraints. Partial information is characterized by the fact that the stock price itself is observable by the optimizing…
When an investor is faced with the option to purchase additional information regarding an asset price, how much should she pay? To address this question, we solve for the indifference price of information in a setting where a trader…
We study an optimal investment problem under default risk where related information such as loss or recovery at default is considered as an exogenous random mark added at default time. Two types of agents who have different levels of…
We address the cost-sensitive feature acquisition problem, where misclassifying an instance is costly but the expected misclassification cost can be reduced by acquiring the values of the missing features. Because acquiring the features is…
A decision maker is choosing between an active action (e.g., purchase a house, invest certain stock) and a passive action. The payoff of the active action depends on the buyer's private type and also an unknown state of nature. An…
Autonomous exploration in mobile robotics often involves a trade-off between two objectives: maximizing environmental coverage and minimizing the total path length. In the widely used information gain paradigm, exploration is guided by the…
Building on the $f$-information model of Bloedel et al. (2025), this paper introduces a one-parameter family of information acquisition models and characterizes optimal information acquisition. This family extends the mutual information…
Redacted emails satisfy most privacy requirements but they make it more difficult to detect anomalous emails that may be indicative of data exfiltration. In this paper we develop an enhanced method of Active Learning using an information…
This paper considers the optimal portfolio selection problem in a dynamic multi-period stochastic framework with regime switching. The risk preferences are of exponential (CARA) type with an absolute coefficient of risk aversion which…