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We study a dynamic game where an expert sends probabilistic forecasts to a decision-maker. The decision-maker verifies these forecasts using a calibration test based on past data. How should the expert send forecasts to maximize her payoff…

We consider two-stage robust optimization problems, which can be seen as games between a decision maker and an adversary. After the decision maker fixes part of the solution, the adversary chooses a scenario from a specified uncertainty…

An agent makes decisions based on multiple sources of information. In isolation, each source is well understood, but their correlation is unknown. We study the agent's robustly optimal strategies -- those that give the best possible…

This paper investigates the investment problem of constructing an optimal no-short sequential portfolio strategy in a market with a latent dependence structure between asset prices and partly unobservable side information, which is often…

A policymaker discloses public information to interacting agents who also acquire costly private information. More precise public information reduces the precision and cost of acquired private information. Considering this effect, what…

The long-term impact of algorithmic decision making is shaped by the dynamics between the deployed decision rule and individuals' response. Focusing on settings where each individual desires a positive classification---including many…

This survey reviews portfolio choice in settings where investment opportunities are stochastic due to, e.g., stochastic volatility or return predictability. It is explained how to heuristically compute candidate optimal portfolios using…

We study the dynamics of public opinion in a model in which agents change their opinions as a result of random binary encounters if the opinion difference is below their individual thresholds that evolve over time. We ground these…

In the presence of ambiguity on the driving force of market randomness, we consider the dynamic portfolio choice without any predetermined investment horizon. The investment criteria is formulated as a robust forward performance process,…

This paper investigates optimal portfolio strategies in a market where the drift is driven by an unobserved Markov chain. Information on the state of this chain is obtained from stock prices and expert opinions in the form of signals at…

How do consultants price expertise? This paper studies a problem of selling information products (expertise) to a buyer (client) who faces decision-making problem under uncertainty. The client is privately informed about the type of…

Decision making in modern stochastic systems, including e-commerce platforms, financial markets and healthcare systems, has evolved into a multifaceted process that combines information acquisition and adaptive information sources. This…

We consider an agent community wishing to decide on several binary issues by means of issue-by-issue majority voting. For each issue and each agent, one of the two options is better than the other. However, some of the agents may be…

Decision-changing imitation is a prevalent phenomenon in financial markets, where investors imitate others' decision-changing rates when making their own investment decisions. In this work, we study the optimal investment problem under the…

The aim of this work consists in the study of the optimal investment strategy for a behavioural investor, whose preference towards risk is described by both a probability distortion and an S-shaped utility function. Within a continuous-time…

A discourse strategy is a strategy for communicating with another agent. Designing effective dialogue systems requires designing agents that can choose among discourse strategies. We claim that the design of effective strategies must take…

Robust optimization is a popular paradigm for modeling and solving two- and multi-stage decision-making problems affected by uncertainty. In many real-world applications, the time of information discovery is decision-dependent and the…

To successfully navigate its environment, an agent must construct and maintain representations of the other agents that it encounters. Such representations are useful for many tasks, but they are not without cost. As a result, agents must…

An agent has access to multiple information sources, each of which provides information about a different attribute of an unknown state. Information is acquired continuously -- where the agent chooses both which sources to sample from, and…

This paper focuses on managing the cost of deliberation before action. In many problems, the overall quality of the solution reflects costs incurred and resources consumed in deliberation as well as the cost and benefit of execution, when…