We introduce ambiguity about the variance of the risky asset's return in the model of Chacko and Viceira (2005) for dynamic consumption and portfolio choice with stochastic variance. We find that, with investors being able to update their portfolio continuously (as a function of the...

We present an extension of Aumann's Agreement Theorem to the case of multiple priors. If agents update all their priors, then, for the Agreement Theorem to hold, it is sufficient to assume that they have closed, connected and intersecting sets of priors. On the other hand, if agents select the...

We consider a non-durable good monopoly that collects data on its customers in order to profile them and subsequently practice price discrimination on returning customers. The monopolist's price discrimination scheme is leaky, in the sense that an endogenous fraction of consumers choose to incur...

A durable good monopolist faces a continuum of heterogeneous customers who make purchase decisions by comparing present and expected price-quality offers. The monopolist designs a sequence of price-quality menus to segment the market. We consider the Markov Perfect Equilibrium (MPE) of a game...

Using a Markov-perfect equilibrium model, we show that the use of customer data to practice intertemporal price discrimination will improve monopoly profit if and only if information precision is higher than a certain threshold level. This U-shaped relationship lends support to a popular view...

This paper analyses price competition under product differentiation when goods are defined ina two dimensional characteristic space, and consumers do not know which firm sells whichquality. Equilibrium prices consist of two additive terms, which balance consumers' relativevaluation of goods'...