A Bayesian agent experiences gain-loss utility each period over changes in belief about future consumption (''news utility''), with diminishing sensitivity over the magnitude of news. Diminishing sensitivity induces a preference over news skewness: gradual bad news, one-shot good news is worse...

Suppose an agent with a static risk preference faces prize processes given by regular diffusions and decides when to stop the process and consume the prize. We show that the agent satisfies dynamic consistency of preferences if and only if she is an Expected Utility agent. This extends a...

We consider an agent who decides whether to employ an information structure to learn about a payoff-relevant state of the world before making a decision. Information is costly either because (1) the agent has to wait for the availability of the information structure and is impatient or because...

Consider an agent who, before making a choice privately learns information about an uncertain, objective state of the world through a technology of sequential experiments. We consider two cases of learning costs. In the first, the agent discounts future payoffs geometrically. In the second, she...

We give a full characterization of the continuation and stopping regions of optimal stopping of diffusions. We consider separately the case of a naive agent who is unaware of the possible time inconsistency in her behavior and the case of a sophisticated agent who is fully aware of such an...

I study a discrete-time dynamic bargaining game in which a buyer can choose to learn privately about her value of the good. Information generation takes time and is endogenous. After learning, the buyer can disclose verifiable evidence of her valuation to the seller. Examples include venture...

We offer a version of the Black-Litterman model where the view generation process and the portfolio allocation process are jointly optimized in an end-to-end fashion (BLEnd2End). The views in our framework are market-wide statements on the performance of classical investment strategies and are...

We estimate an asset pricing model for the U.S. corporate bonds market using bond portfolios, as well as a large longitudinal dataset of individual bonds that we augment with fundamental characteristics of the issuer. We further enrich the information set with a large set of macroeconomic time...