Related papers: Optimal information acquisition for eliminating es…
In this paper we have devised an alternative methodological approach for quantifying utility in terms of expected information content of the decision-maker's choice set. We have proposed an extension to the concept of utility by…
This paper is concerned with an optimal investment problem under correlated noises in the financial market, and the expected utility functional is hyperbolic absolute risk aversion (HARA) with the exponent $\gamma\neq0$. The problem can be…
When additional information sources are available, an important question for an agent solving a certain problem is how to optimally use the information the sources are capable of providing. A framework that relates information accuracy on…
We consider utility maximization problem for semi-martingale models depending on a random factor $\xi$. We reduce initial maximization problem to the conditional one, given $\xi=u$, which we solve using dual approach. For HARA utilities we…
The proliferation of real-time applications has spurred much interest in data freshness, captured by the {\it age-of-information} (AoI) metric. When strategic data sources have private market information, a fundamental economic challenge is…
This paper studies an $\alpha$-robust utility maximization problem where an investor faces an intractable claim -- an exogenous contingent claim with known marginal distribution but unspecified dependence structure with financial market…
This paper studies the provision of incentives for information acquisition. Information is costly for an agent to acquire and unobservable to a principal. We show that any Pareto optimal contract has a decomposition into a fraction of…
We consider a principal-agent problem where the agent may privately choose to acquire relevant information prior to taking a hidden action. This model generalizes two special cases: a classic moral hazard setting, and a more recently…
In this paper, we propose an information-theoretic exploration strategy for stochastic, discrete multi-armed bandits that achieves optimal regret. Our strategy is based on the value of information criterion. This criterion measures the…
Our work investigates the economic efficiency of the prevailing "ladder-step" investment strategy in oil and gas exploration, which advocates for the incremental acquisition of geological information throughout the project lifecycle. By…
Stochastic optimization is one of the central problems in Machine Learning and Theoretical Computer Science. In the standard model, the algorithm is given a fixed distribution known in advance. In practice though, one may acquire at a cost…
In financial markets valuable information is rarely circulated homogeneously, because of time required for information to spread. However, advances in communication technology means that the 'lifetime' of important information is typically…
In this paper, we consider active information acquisition when the prediction model is meant to be applied on a targeted subset of the population. The goal is to label a pre-specified fraction of customers in the target or test set by…
Feature missing is a serious problem in many applications, which may lead to low quality of training data and further significantly degrade the learning performance. While feature acquisition usually involves special devices or complex…
We investigate joint optimization on information acquisition and portfolio selection within a Bayesian adaptive framework. The investor dynamically controls the precision of a private signal and incurs costs while updating her belief about…
In this paper we study a class of insurance products where the policy holder has the option to insure $k$ of its annual Operational Risk losses in a horizon of $T$ years. This involves a choice of $k$ out of $T$ years in which to apply the…
The main objective of this paper is to develop a martingale-type solution to optimal consumption--investment choice problems ([Merton, 1969] and [Merton, 1971]) under time-varying incomplete preferences driven by externalities such as…
We study an optimal control problem encompassing investment, consumption, and retirement decisions under exponential (CARA-type) utility. The financial market comprises a bond with constant drift and a stock following geometric Brownian…
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.…
Many real-world situations allow for the acquisition of additional relevant information when making an assessment with limited or uncertain data. However, traditional ML approaches either require all features to be acquired beforehand or…