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We consider an optimal consumption/investment problem to maximize expected utility from consumption. In this market model, the investor is allowed to choose a portfolio which consists of one bond, one liquid risky asset (no transaction…

Changes in market conditions present challenges for investors as they cause performance to deviate from the ranges predicted by long-term averages of means and covariances. The aim of conditional asset allocation strategies is to overcome…

In many two-sided markets, the parties to be matched have incomplete information about their characteristics. We consider the settings where the parties engaged are extremely patient and are interested in long-term partnerships. Hence, once…

We study the problem of maximising terminal utility for an agent facing model uncertainty, in a frictionless discrete-time market with one safe asset and finitely many risky assets. We show that an optimal investment strategy exists if the…

Inspired by the concepts of deep learning in artificial intelligence and fairness in behavioural economics, we introduce deep teams in this paper. In such systems, agents are partitioned into a few sub-populations so that the dynamics and…

We consider a trader who aims to liquidate a large position in the presence of an arbitrageur who hopes to profit from the trader's activity. The arbitrageur is uncertain about the trader's position and learns from observed price…

The energy transition is expected to significantly increase the share of renewable energy sources whose production is intermittent in the electricity mix. Apart from key benefits, this development has the major drawback of generating a…

Decisions for a variable renewable resource generators commitment in the energy market are typically made in advance when little information is obtainable about wind availability and market prices. Much research has been published…

In computational advertising, a challenging problem is how to recommend the bid for advertisers to achieve the best return on investment (ROI) given budget constraint. This paper presents a bid recommendation scenario that discovers the…

We analyze and quantify, in a financial market with parameter uncertainty and for a Constant Relative Risk Aversion investor, the utility effects of two different boundedly rational (i.e., sub-optimal) investment strategies (namely, myopic…

We consider settings where an uninformed principal must hear arguments from two better-informed agents, corresponding to two possible courses of action that they argue for. The arguments are verifiable in the sense that the true state of…

Authentication security advice is given with the goal of guiding users and organisations towards secure actions and practices. In this paper, we demonstrate that security advice can be ambiguous, contradictory and at times may not even have…

How should an agent (the sender) observing multi-dimensional data (the state vector) persuade another agent to take the desired action? We show that it is always optimal for the sender to perform a (non-linear) dimension reduction by…

This paper studies a robust portfolio optimization problem under the multi-factor volatility model introduced by Christoffersen et al. (2009). The optimal strategy is derived analytically under the worst-case scenario with or without…

A set of agents has to make a decision about the provision of a public good and its financing. Agents have heterogeneous values for the public good and each agent's value is private information. An agenda-setter has the right to make a…

We study the welfare of a mechanism in a dynamic environment where a learning investor can make a costly investment to change her value. In many real-world problems, the common assumption that the investor always makes the best responses,…

Automated recommendations can nowadays be found on many e-commerce platforms, and such recommendations can create substantial value for consumers and providers. Often, however, not all recommendable items have the same profit margin, and…

In this paper, we consider sequential dynamic team decision problems with nonclassical information structures. First, we address the problem from the point of view of a ``manager" who seeks to derive the optimal strategy of the team in a…

Despite ongoing advancements in quantum computing, businesses are still faced with the problem to decide if they would benefit from investing into this novel technology for building a business critical application. This uncertainty is not…

I analyze long-term contracting in insurance markets with asymmetric information. The buyer privately observes her risk type, which evolves stochastically over time. A long-term contract specifies a menu of insurance policies, contingent on…