Related papers: Optimal information acquisition for eliminating es…
In this paper, we consider a financial market with assets exposed to some risks inducing jumps in the asset prices, and which can still be traded after default times. We use a default-intensity modeling approach, and address in this…
A decision-maker periodically acquires information about a changing state, controlling both the timing and content of updates. I characterize optimal policies using a decomposition of the dynamic problem into optimal stopping and static…
In this research, we present an analysis of the optimal investment, consumption, and life insurance acquisition problem for a wage earner with partial information. Our study considers the non-linear filter case where risky asset prices are…
Perfectly rational decision-makers maximize expected utility, but crucially ignore the resource costs incurred when determining optimal actions. Here we employ an axiomatic framework for bounded rational decision-making based on a…
The maximum entropy principle can be used to assign utility values when only partial information is available about the decision maker's preferences. In order to obtain such utility values it is necessary to establish an analogy between…
We develop novel methodology for active feature acquisition (AFA), the study of how to sequentially acquire a dynamic (on a per instance basis) subset of features that minimizes acquisition costs whilst still yielding accurate predictions.…
We study a continuous-time expected utility maximization problem in which the investor at maturity receives the value of a contingent claim in addition to the investment payoff from the financial market. The investor knows nothing about the…
Although the existing max-value entropy search (MES) is based on the widely celebrated notion of mutual information, its empirical performance can suffer due to two misconceptions whose implications on the exploration-exploitation trade-off…
We study a data analyst's problem of acquiring data from self-interested individuals to obtain an accurate estimation of some statistic of a population, subject to an expected budget constraint. Each data holder incurs a cost, which is…
We study an information acquisition problem in which an informed trader acquires costly information prior to trading in the Kyle equilibrium. The cost of information acquisition is represented by an entropy cost. Regardless of the prior…
Many fairness criteria constrain the policy or choice of predictors, which can have unwanted consequences, in particular, when optimizing the policy under such constraints. Here, we advocate to instead focus on the utility function the…
We study information aggregation in a dynamic trading model with partially informed traders. Ostrovsky [2012] showed that `separable' securities aggregate information in all equilibria, however, determining whether a security is separable…
This paper studies the problem of optimal investment with CRRA (constant, relative risk aversion) preferences, subject to dynamic risk constraints on trading strategies. The market model considered is continuous in time and incomplete. the…
We consider information filtering, in which we face a stream of items too voluminous to process by hand (e.g., scientific articles, blog posts, emails), and must rely on a computer system to automatically filter out irrelevant items. Such…
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…
This paper addresses the exploration-exploitation dilemma inherent in decision-making, focusing on multi-armed bandit problems. The problems involve an agent deciding whether to exploit current knowledge for immediate gains or explore new…
Noise traders can be dispensed with entirely. Partial revelation of information through prices arises under any non-exponential expected utility preference, including CRRA, without noise traders, random endowments, supply shocks, hedging…
We present a model of a forecaster who must predict the future value of a variable that depends on an exogenous state and on the intervention of a policy-maker. We investigate the incentives of the forecaster to acquire costly private…
This paper studies robust forward investment and consumption preferences within a zero-volatility context. Different from previous works, we consider an incomplete financial market model due to general investment portfolio constraints. We…
We consider the classical multi-asset Merton investment problem under drift uncertainty, i.e. the asset price dynamics are given by geometric Brownian motions with constant but unknown drift coefficients. The investor assumes a prior drift…